带投资的时依更新风险模型中破产概率的一致渐近估计

Uniform asymptotic estimates in a time-dependent renewal risk model with stochastic investment returns

本文考虑索赔额过程与索赔时间过程具有相依性的更新风险模型.假定保险公司将其盈余投资到金融市场中,该投资的价格过程服从几何L′evy过程.当索赔额分布属于L∩D时,本文得到有限时间总索赔额现值尾概率的一致渐近估计,同时也得到有限时间破产概率的一致渐近估计.

In this paper we consider a time-dependent renewal risk model with stochastic investment returns. The investment of an insurer is described as a portfolio of risk-free and risky assets whose price process is a geometric Lévy process. When the claim-size distribution belongs to the intersection of the class L and the class D, we obtain an asymptotic formula for the tail probability of discounted aggregate claims, which holds uniformly for all nite time horizons. The same asymptotic formula for the nite-time ruin probability is also obtained.