Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims

Abstract

Consider a continuous-time renewal risk model, in which the claim sizes and inter-arrival times form a sequence of independent and identically distributed random pairs, with each pair obeying a dependence structure. Suppose that the surplus is invested in a portfolio whose return follows a Lévy process. When the claim-size distribution is dominatedly-varying tailed, asymptotic estimates for the finite- and infinite-horizon ruin probabilities are obtained.