October  2011, 7(4): 849-874. doi: 10.3934/jimo.2011.7.849

Uniform estimates for ruin probabilities in the renewal risk model with upper-tail independent claims and premiums

1. 

Department of Mathematics, Soochow University, Suzhou, 215006, China

Received  May 2010 Revised  May 2011 Published  August 2011

In this paper, we discuss a nonstandard renewal risk model, where the price process of the investment portfolio is modelled as a geometric Lévy process, the claim sizes and premium sizes form sequences of identically distributed and upper-tail independent random variables, respectively, the claim size and its corresponding inter-claim time satisfy a certain dependence structure described via a conditional tail probability of the claim size given the inter-claim time before the claim occurs, and there is a similar dependence structure between the premium size and the inter-arrival time before the premium is paid. When the claim-size distribution belongs to the extended-regular-varying class, we obtain a uniform tail asymptotics for stochastically discounted aggregate claims. Furthermore, assuming that the tail of the premium-size distribution is lighter than that of the claim-size distribution, the uniform estimates for the finite- and infinite-time ruin probabilities are presented respectively.
Citation: Yinghua Dong, Yuebao Wang. Uniform estimates for ruin probabilities in the renewal risk model with upper-tail independent claims and premiums. Journal of Industrial & Management Optimization, 2011, 7 (4) : 849-874. doi: 10.3934/jimo.2011.7.849
References:
[1]

H. Albrecher and O. J. Boxma, A ruin model with dependence between claim sizes and claim intervals,, Insurance Math. Econom., 35 (2004), 245. doi: 10.1016/j.insmatheco.2003.09.009. Google Scholar

[2]

H. Albrecher and J. L. Teugels, Exponential behavior in the presence of dependence in risk theory,, J. App. Probab., 43 (2006), 257. doi: 10.1239/jap/1143936258. Google Scholar

[3]

A. V. Asimit and A. L. Badescu, Extremes on the discounted aggregate claims in a time dependent risk model,, Scand. Actuar. J., 2010 (): 93. doi: 10.1080/03461230802700897. Google Scholar

[4]

A. L. Badescu, E. C. K. Cheung and D. Landriault, Dependent risk models with bivariate phase-type distributions,, J. Appl. Probab., 46 (2009), 113. doi: 10.1239/jap/1238592120. Google Scholar

[5]

R. Biard, C. Lefévre and S. Loisel, Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationary assumptions are relaxed,, Insurance Math. Econom., 43 (2008), 412. doi: 10.1016/j.insmatheco.2008.08.004. Google Scholar

[6]

N. H. Bingham, C. M. Goldie and J. L. Teugels, "Regular Variation,", Encyclopedia of Mathematics and its Applications, 27 (1987). Google Scholar

[7]

A. V. Boĭkov, The Cramer-Lundberg model with stochastic premiums,, Theory Probab. Appl., 47 (2003), 489. doi: 10.1137/S0040585X9797987. Google Scholar

[8]

M. Boudreault, H. Cossette, D. Landriault and E. Marceau, On a risk model with dependence between interclaim arrivals and claim sizes,, Scand. Actuar. J., 5 (2006), 265. doi: 10.1080/03461230600992266. Google Scholar

[9]

R. J. Boucherie, O. J. Boxma and K. Sigman, A note on negative customers, GI/G/I workload, and risk processes,, Prob. Eng. Inf. Sci., 11 (1997), 305. doi: 10.1017/S0269964800004848. Google Scholar

[10]

L. Breiman, On some limit theorms similar to the arc-sin law,, Teor. Verojatnost. i Primenen, 10 (1965), 323. doi: 10.1137/1110037. Google Scholar

[11]

D. B. H. Cline, Intermediate regular and $\Pi$ variation,, Proc. London Math. Soc., 68 (1994), 594. doi: 10.1112/plms/s3-68.3.594. Google Scholar

[12]

D. B. H. Cline and G. Samorodnitsky, Subexponentiality of the product of independent random variables,, Stoch. Proc. Appl., 49 (1994), 75. doi: 10.1016/0304-4149(94)90113-9. Google Scholar

[13]

R. Cont and P. Tankov, "Financial Modelling with Jump Processes,", Chapman & Hall/CRC Financial Mathematics Series, (2004). Google Scholar

[14]

H. Cossette, E. Marceau and F. Marri, On the compound Poisson risk model with dependence based on a generalized Falie-Gumbel-Morgenstern copula,, Insurance Math. Econom., 43 (2008), 444. doi: 10.1016/j.insmatheco.2008.08.009. Google Scholar

[15]

Q. Gao and Y. Wang, Randomly weighted sums with dominantly varying-tailed increments and applications to risk theory,, J. Korean Stat. Soc., 39 (2010), 305. doi: 10.1016/j.jkss.2010.02.004. Google Scholar

[16]

C. C. Heyde and D. Wang, Finite-time ruin probaility with an exponential Lévy process investment return and heavy-tailed claims,, Adv. App. Probab., 41 (2009), 206. doi: 10.1239/aap/1240319582. Google Scholar

[17]

V. Kalashnikov and R. Norberg, Power tailed ruin probabilities in the presence of risky investments,, Stochastic Proc. Appl., 98 (2002), 211. doi: 10.1016/S0304-4149(01)00148-X. Google Scholar

[18]

C. Klüppelberg and R. Kostadinova, Integrated insurance risk models with exponential Lévy investment,, Insurance Math. Econom., 42 (2008), 560. Google Scholar

[19]

S. Kotz, N. Balakrishnan and N. L. Johnson, "Continuous Multivariate Distribution. Vol. I. Models and Applications,", 2nd edition, (2000). Google Scholar

[20]

E. L. Lehmann, Some concepts of dependence,, Ann. Math. Statist., 37 (1966), 1137. doi: 10.1214/aoms/1177699260. Google Scholar

[21]

J. Li, Q. Tang and R. Wu, Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model,, Adv. Appl. Probab., 42 (2010), 1126. doi: 10.1239/aap/1293113154. Google Scholar

[22]

R. B. Nelsen, "An Introduction to Copulas,", 2nd edition, (2006). Google Scholar

[23]

J. Paulsen and H. K. Gjessing, Ruin theory with stochastic return on investments,, Adv. Appl. Probab., 29 (1997), 965. Google Scholar

[24]

S. I. Resnick, Hidden regular variation, second order regular variation and asymptotic independence,, Extremes \textbf{5} (2002), 5 (2002), 303. doi: 10.1023/A:1025148622954. Google Scholar

[25]

S. I. Resnick, "Extreme Values, Regular Variation and Point Processes,", Reprint of the 1987 original, (1987). Google Scholar

[26]

X. M. Shen, Z. Y. Lin and Y. Zhang, Uniform estimate for maximum of randomly weighted sums with applications to ruin theory,, Methodol. Comput. Appl. Probab., 11 (2009), 669. doi: 10.1007/s11009-008-9090-6. Google Scholar

[27]

Q. Tang and G. Tsitsiashvili, Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and finanicial risks,, Stochastic Proc. Appl., 108 (2003), 299. Google Scholar

[28]

Q. Tang, G. Wang and K. Yuen, Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model,, Insurance Math. Econom., 46 (2010), 362. doi: 10.1016/j.insmatheco.2009.12.002. Google Scholar

[29]

G. Temnov, Risk processes with random income,, J. Math. Sci., 123 (2004), 3780. doi: 10.1023/B:JOTH.0000036319.21285.22. Google Scholar

[30]

Y. Zhang, X. Shen and C. Weng, Approximation of the tail probability of randomly weighted sums and applications,, Stochastic Proc. Appl., 119 (2009), 655. doi: 10.1016/j.spa.2008.03.004. Google Scholar

[31]

Z. Zhang and H. Yang, On a risk model with stochastic premiums income and dependence between income and loss,, J. Comput. Appl. Math., 234 (2010), 44. doi: 10.1016/j.cam.2009.12.004. Google Scholar

[32]

M. Zhou and J. Cai, A perturbed risk model with dependence between premium rates and claim sizes,, Insurance Math. Econom., 45 (2009), 382. doi: 10.1016/j.insmatheco.2009.08.008. Google Scholar

show all references

References:
[1]

H. Albrecher and O. J. Boxma, A ruin model with dependence between claim sizes and claim intervals,, Insurance Math. Econom., 35 (2004), 245. doi: 10.1016/j.insmatheco.2003.09.009. Google Scholar

[2]

H. Albrecher and J. L. Teugels, Exponential behavior in the presence of dependence in risk theory,, J. App. Probab., 43 (2006), 257. doi: 10.1239/jap/1143936258. Google Scholar

[3]

A. V. Asimit and A. L. Badescu, Extremes on the discounted aggregate claims in a time dependent risk model,, Scand. Actuar. J., 2010 (): 93. doi: 10.1080/03461230802700897. Google Scholar

[4]

A. L. Badescu, E. C. K. Cheung and D. Landriault, Dependent risk models with bivariate phase-type distributions,, J. Appl. Probab., 46 (2009), 113. doi: 10.1239/jap/1238592120. Google Scholar

[5]

R. Biard, C. Lefévre and S. Loisel, Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationary assumptions are relaxed,, Insurance Math. Econom., 43 (2008), 412. doi: 10.1016/j.insmatheco.2008.08.004. Google Scholar

[6]

N. H. Bingham, C. M. Goldie and J. L. Teugels, "Regular Variation,", Encyclopedia of Mathematics and its Applications, 27 (1987). Google Scholar

[7]

A. V. Boĭkov, The Cramer-Lundberg model with stochastic premiums,, Theory Probab. Appl., 47 (2003), 489. doi: 10.1137/S0040585X9797987. Google Scholar

[8]

M. Boudreault, H. Cossette, D. Landriault and E. Marceau, On a risk model with dependence between interclaim arrivals and claim sizes,, Scand. Actuar. J., 5 (2006), 265. doi: 10.1080/03461230600992266. Google Scholar

[9]

R. J. Boucherie, O. J. Boxma and K. Sigman, A note on negative customers, GI/G/I workload, and risk processes,, Prob. Eng. Inf. Sci., 11 (1997), 305. doi: 10.1017/S0269964800004848. Google Scholar

[10]

L. Breiman, On some limit theorms similar to the arc-sin law,, Teor. Verojatnost. i Primenen, 10 (1965), 323. doi: 10.1137/1110037. Google Scholar

[11]

D. B. H. Cline, Intermediate regular and $\Pi$ variation,, Proc. London Math. Soc., 68 (1994), 594. doi: 10.1112/plms/s3-68.3.594. Google Scholar

[12]

D. B. H. Cline and G. Samorodnitsky, Subexponentiality of the product of independent random variables,, Stoch. Proc. Appl., 49 (1994), 75. doi: 10.1016/0304-4149(94)90113-9. Google Scholar

[13]

R. Cont and P. Tankov, "Financial Modelling with Jump Processes,", Chapman & Hall/CRC Financial Mathematics Series, (2004). Google Scholar

[14]

H. Cossette, E. Marceau and F. Marri, On the compound Poisson risk model with dependence based on a generalized Falie-Gumbel-Morgenstern copula,, Insurance Math. Econom., 43 (2008), 444. doi: 10.1016/j.insmatheco.2008.08.009. Google Scholar

[15]

Q. Gao and Y. Wang, Randomly weighted sums with dominantly varying-tailed increments and applications to risk theory,, J. Korean Stat. Soc., 39 (2010), 305. doi: 10.1016/j.jkss.2010.02.004. Google Scholar

[16]

C. C. Heyde and D. Wang, Finite-time ruin probaility with an exponential Lévy process investment return and heavy-tailed claims,, Adv. App. Probab., 41 (2009), 206. doi: 10.1239/aap/1240319582. Google Scholar

[17]

V. Kalashnikov and R. Norberg, Power tailed ruin probabilities in the presence of risky investments,, Stochastic Proc. Appl., 98 (2002), 211. doi: 10.1016/S0304-4149(01)00148-X. Google Scholar

[18]

C. Klüppelberg and R. Kostadinova, Integrated insurance risk models with exponential Lévy investment,, Insurance Math. Econom., 42 (2008), 560. Google Scholar

[19]

S. Kotz, N. Balakrishnan and N. L. Johnson, "Continuous Multivariate Distribution. Vol. I. Models and Applications,", 2nd edition, (2000). Google Scholar

[20]

E. L. Lehmann, Some concepts of dependence,, Ann. Math. Statist., 37 (1966), 1137. doi: 10.1214/aoms/1177699260. Google Scholar

[21]

J. Li, Q. Tang and R. Wu, Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model,, Adv. Appl. Probab., 42 (2010), 1126. doi: 10.1239/aap/1293113154. Google Scholar

[22]

R. B. Nelsen, "An Introduction to Copulas,", 2nd edition, (2006). Google Scholar

[23]

J. Paulsen and H. K. Gjessing, Ruin theory with stochastic return on investments,, Adv. Appl. Probab., 29 (1997), 965. Google Scholar

[24]

S. I. Resnick, Hidden regular variation, second order regular variation and asymptotic independence,, Extremes \textbf{5} (2002), 5 (2002), 303. doi: 10.1023/A:1025148622954. Google Scholar

[25]

S. I. Resnick, "Extreme Values, Regular Variation and Point Processes,", Reprint of the 1987 original, (1987). Google Scholar

[26]

X. M. Shen, Z. Y. Lin and Y. Zhang, Uniform estimate for maximum of randomly weighted sums with applications to ruin theory,, Methodol. Comput. Appl. Probab., 11 (2009), 669. doi: 10.1007/s11009-008-9090-6. Google Scholar

[27]

Q. Tang and G. Tsitsiashvili, Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and finanicial risks,, Stochastic Proc. Appl., 108 (2003), 299. Google Scholar

[28]

Q. Tang, G. Wang and K. Yuen, Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model,, Insurance Math. Econom., 46 (2010), 362. doi: 10.1016/j.insmatheco.2009.12.002. Google Scholar

[29]

G. Temnov, Risk processes with random income,, J. Math. Sci., 123 (2004), 3780. doi: 10.1023/B:JOTH.0000036319.21285.22. Google Scholar

[30]

Y. Zhang, X. Shen and C. Weng, Approximation of the tail probability of randomly weighted sums and applications,, Stochastic Proc. Appl., 119 (2009), 655. doi: 10.1016/j.spa.2008.03.004. Google Scholar

[31]

Z. Zhang and H. Yang, On a risk model with stochastic premiums income and dependence between income and loss,, J. Comput. Appl. Math., 234 (2010), 44. doi: 10.1016/j.cam.2009.12.004. Google Scholar

[32]

M. Zhou and J. Cai, A perturbed risk model with dependence between premium rates and claim sizes,, Insurance Math. Econom., 45 (2009), 382. doi: 10.1016/j.insmatheco.2009.08.008. Google Scholar

[1]

Jiangyan Peng, Dingcheng Wang. Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns. Journal of Industrial & Management Optimization, 2017, 13 (1) : 155-185. doi: 10.3934/jimo.2016010

[2]

Yang Yang, Kam C. Yuen, Jun-Feng Liu. Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims. Journal of Industrial & Management Optimization, 2018, 14 (1) : 231-247. doi: 10.3934/jimo.2017044

[3]

Drew Fudenberg, David K. Levine. Tail probabilities for triangular arrays. Journal of Dynamics & Games, 2014, 1 (1) : 45-56. doi: 10.3934/jdg.2014.1.45

[4]

Yong-Kum Cho. On the Boltzmann equation with the symmetric stable Lévy process. Kinetic & Related Models, 2015, 8 (1) : 53-77. doi: 10.3934/krm.2015.8.53

[5]

Lin Xu, Rongming Wang. Upper bounds for ruin probabilities in an autoregressive risk model with a Markov chain interest rate. Journal of Industrial & Management Optimization, 2006, 2 (2) : 165-175. doi: 10.3934/jimo.2006.2.165

[6]

Wuyuan Jiang. The maximum surplus before ruin in a jump-diffusion insurance risk process with dependence. Discrete & Continuous Dynamical Systems - B, 2019, 24 (7) : 3037-3050. doi: 10.3934/dcdsb.2018298

[7]

Yang Yang, Kaiyong Wang, Jiajun Liu, Zhimin Zhang. Asymptotics for a bidimensional risk model with two geometric Lévy price processes. Journal of Industrial & Management Optimization, 2019, 15 (2) : 481-505. doi: 10.3934/jimo.2018053

[8]

Hongjun Gao, Fei Liang. On the stochastic beam equation driven by a Non-Gaussian Lévy process. Discrete & Continuous Dynamical Systems - B, 2014, 19 (4) : 1027-1045. doi: 10.3934/dcdsb.2014.19.1027

[9]

Yongxia Zhao, Rongming Wang, Chuancun Yin. Optimal dividends and capital injections for a spectrally positive Lévy process. Journal of Industrial & Management Optimization, 2017, 13 (1) : 1-21. doi: 10.3934/jimo.2016001

[10]

Wen Chen, Song Wang. A finite difference method for pricing European and American options under a geometric Lévy process. Journal of Industrial & Management Optimization, 2015, 11 (1) : 241-264. doi: 10.3934/jimo.2015.11.241

[11]

Byeongchan Lee, Jonghun Yoon, Yang Woo Shin, Ganguk Hwang. Tail asymptotics of fluid queues in a distributed server system fed by a heavy-tailed ON-OFF flow. Journal of Industrial & Management Optimization, 2016, 12 (2) : 637-652. doi: 10.3934/jimo.2016.12.637

[12]

Yutaka Sakuma, Atsushi Inoie, Ken’ichi Kawanishi, Masakiyo Miyazawa. Tail asymptotics for waiting time distribution of an M/M/s queue with general impatient time. Journal of Industrial & Management Optimization, 2011, 7 (3) : 593-606. doi: 10.3934/jimo.2011.7.593

[13]

Badr-eddine Berrhazi, Mohamed El Fatini, Tomás Caraballo, Roger Pettersson. A stochastic SIRI epidemic model with Lévy noise. Discrete & Continuous Dynamical Systems - B, 2018, 23 (6) : 2415-2431. doi: 10.3934/dcdsb.2018057

[14]

Qingwu Gao, Zhongquan Huang, Houcai Shen, Juan Zheng. Asymptotics for random-time ruin probability in a time-dependent renewal risk model with subexponential claims. Journal of Industrial & Management Optimization, 2016, 12 (1) : 31-43. doi: 10.3934/jimo.2016.12.31

[15]

Xiangjun Wang, Jianghui Wen, Jianping Li, Jinqiao Duan. Impact of $\alpha$-stable Lévy noise on the Stommel model for the thermohaline circulation. Discrete & Continuous Dynamical Systems - B, 2012, 17 (5) : 1575-1584. doi: 10.3934/dcdsb.2012.17.1575

[16]

Rachel Chen, Jianqiang Hu, Yijie Peng. Simulation of Lévy-Driven models and its application in finance. Numerical Algebra, Control & Optimization, 2012, 2 (4) : 749-765. doi: 10.3934/naco.2012.2.749

[17]

Kexue Li, Jigen Peng, Junxiong Jia. Explosive solutions of parabolic stochastic partial differential equations with lévy noise. Discrete & Continuous Dynamical Systems - A, 2017, 37 (10) : 5105-5125. doi: 10.3934/dcds.2017221

[18]

Xingchun Wang, Yongjin Wang. Hedging strategies for discretely monitored Asian options under Lévy processes. Journal of Industrial & Management Optimization, 2014, 10 (4) : 1209-1224. doi: 10.3934/jimo.2014.10.1209

[19]

Chaman Kumar, Sotirios Sabanis. On tamed milstein schemes of SDEs driven by Lévy noise. Discrete & Continuous Dynamical Systems - B, 2017, 22 (2) : 421-463. doi: 10.3934/dcdsb.2017020

[20]

Zhimin Zhang, Eric C. K. Cheung. A note on a Lévy insurance risk model under periodic dividend decisions. Journal of Industrial & Management Optimization, 2018, 14 (1) : 35-63. doi: 10.3934/jimo.2017036

2018 Impact Factor: 1.025

Metrics

  • PDF downloads (4)
  • HTML views (0)
  • Cited by (2)

Other articles
by authors

[Back to Top]