Photo by thinkmagically from unsplash
ABSTRACT In this paper, we consider a nonstandard renewal multi-risk model where a company has n types of independent insurance contracts and each contract has some dependent claims and stochastic… Click to show full abstract
ABSTRACT In this paper, we consider a nonstandard renewal multi-risk model where a company has n types of independent insurance contracts and each contract has some dependent claims and stochastic return. The price process of the investment portfolio is described as a geometric Lévy process. When the claim size distribution belongs to the class of , we can get some asymptotic formulae for the tail probability of n types contracts’ discounted aggregate claims and ruin probabilities, holding uniformly for some finite horizons.
Journal Title: Communications in Statistics - Theory and Methods
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!