Article Contents
Article Contents

# Infinite-time ruin probability of a renewal risk model with exponential Levy process investment and dependent claims and inter-arrival times

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• We investigate the infinite-time ruin probability of a renewal risk model with exponential Lévy process investment and dependent claims and inter-arrival times. Assume that claims and corresponding inter-arrival times form a sequence of independent and identically distributed copies of a random pair $(X,T)$ with dependent components. When the product of the claims and the discount factors of the corresponding inter-arrival times are heavy tailed, we establish an asymptotic formula for the infinite-time ruin probability without any restriction on the dependence structure of $(X,T)$ .

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

 Citation:

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