Tail asymptotic for discounted aggregate claims with one-sided linear dependence and general investment return

• 来源期刊: 中国科学：数学（英文版）
• 年，卷（期）: 2019,（4）
• 页码范围: 735-750
• 页数: 16页
• 语种: 英文

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 càdlàg 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.