Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model

By Qihe Tang, Guojing Wang, Kam Chuen Yuen. 2010

66 citations recorded by the source corpus.

Consider an insurer who is allowed to make risk-free and risky investments. The price process of the investment portfolio is described as a geometric Levy process. We study the tail probability of the stochastic present value of future aggregate claims. When the claim-size distribution is of Pareto type, we obtain a simple asymptotic formula which holds uniformly for all time horizons. The same asymptotic formula holds for the finite-time and infinite-time ruin probabilities. Restricting our attention to the so-called constant investment strategy, we show how the insurer adjusts his investment portfolio to maximize the expected terminal wealth subject to a constraint on the ruin probability.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/407ab98cc1144fc079a732e7a26ee5846b3408a4

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Yang Yang
2. Jiajun Liu
3. Zhimin Zhang
4. Kaiyong Wang

In Economics and Econometrics

1. Yang Yang
2. Jiajun Liu
3. Zhimin Zhang
4. Kaiyong Wang

In Management Science and Operations Research

1. Yang Yang
2. Jiajun Liu
3. Zhimin Zhang
4. Kaiyong Wang

Citations in the corpus

• Asymptotics for a bidimensional risk model with two geometric Lévy price processes (2019, background): “This assumption on price processes is widely used in mathematical finance, see [10], [17], [18], [19] and [20], among others.”