Article Contents
Article Contents

# Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns

• * Corresponding author: Dingcheng Wang
The research of Jiangyan Peng is supported by the National Natural Science Foundation of China (project no: 71501025) and China Postdoctoral Science Foundation (project no: 2015M572467). The research of Dingcheng Wang is supported by the National Natural Science Foundation of China (project no: 71271042).
• Consider a non-standard renewal risk model with dependence structures, where claim sizes follow a one-sided linear process with independent and identically distributed step sizes, the step sizes and inter-arrival times respectively form a sequence of independent and identically distributed random pairs, with each pair obeying a dependence structure. An insurance company is allowed to make risk-free and risky investments, where the price process of the investment portfolio follows an exponential Lévy process. When the step-size distribution is dominatedly-varying-tailed, some asymptotic estimates for the finite-and infinite-time ruin probabilities are obtained.

Mathematics Subject Classification: Primary: 60G51, 62P05; Secondary: 91B30.

 Citation:

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