摘要
In this study, we investigate the tail probability of the discounted aggregate claim sizes in a dependent risk model. In this model, the claim sizes are observed to follow a one-sided linear process with independent and identically distributed innovations. Investment return is described as a general stochastic process with c`adl`ag paths. In the case of heavy-tailed innovation distributions, we are able to derive some asymptotic estimates for tail probability and to provide some asymptotic upper bounds to improve the applicability of our study.
In this study, we investigate the tail probability of the discounted aggregate claim sizes in a dependent risk model. In this model, the claim sizes are observed to follow a one-sided linear process with independent and identically distributed innovations. Investment return is described as a general stochastic process with c`adl`ag paths. In the case of heavy-tailed innovation distributions, we are able to derive some asymptotic estimates for tail probability and to provide some asymptotic upper bounds to improve the applicability of our study.
基金
supported by National Natural Science Foundation of China (Grant No. 71501100)
the Open Project of Jiangsu Key Laboratory of Financial Engineering (Grant No. NSK2015-02)
supported by National Natural Science Foundation of China (Grant No. 71271042)
the stage results of the Major Bidding Project of the Chinese National Social Science Foundation (Grant No. 17ZDA072)
