کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076986 | 1374111 | 2010 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
Consider an insurer who is allowed to make risk-free and risky investments. The price process of the investment portfolio is described as a geometric Lévy process. We study the tail probability of the stochastic present value of future aggregate claims. When the claim-size distribution is of Pareto type, we obtain a simple asymptotic formula which holds uniformly for all time horizons. The same asymptotic formula holds for the finite-time and infinite-time ruin probabilities. Restricting our attention to the so-called constant investment strategy, we show how the insurer adjusts his investment portfolio to maximize the expected terminal wealth subject to a constraint on the ruin probability.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 46, Issue 2, April 2010, Pages 362-370
Journal: Insurance: Mathematics and Economics - Volume 46, Issue 2, April 2010, Pages 362-370
نویسندگان
Qihe Tang, Guojing Wang, Kam C. Yuen,