摘要
Considering an insurer who is allowed to make risk-free and risky investments, as in Tang et al.(2010), the price process of the investment portfolio is described as a geometric L′evy process. We study the tail probability of the stochastic present value of future aggregate claims. When the claim-size distribution is of extended regular variation, we obtain an asymptotically equivalent formula which holds uniformly for all time horizons, and furthermore, the same asymptotic formula holds for the finite-time ruin probabilities. The results extend the works of Tang et al.(2010).
Considering an insurer who is allowed to make risk-free and risky investments, as in Tang et al. （2010）, 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 extended regular variation, we obtain an asymptotically equivalent formula which holds uniformly for all time horizons, and furthermore, the same asymptotic formula holds for the finite-time ruin probabilities. The results extend the works of Tang et al. （2010）.
基金
supported by National Natural Science Foundation of China(Grant Nos.11171001,11271193 and 11171065)
Planning Foundation of Humanities and Social Sciences of Chinese Ministry of Education(Grant Nos.11YJA910004 and 12YJCZH128)
Natural Science Foundation of the Jiangsu Higher Education Institutions of China(Grant No.13KJD110004)
