Asymptotics in a time-dependent renewal risk model with stochastic return

Abstract

In this paper we study the asymptotic tail behavior for a non-standard renewal risk model with a dependence structure and stochastic return. An insurance company is allowed to invest in financial assets such as risk-free bonds and risky stocks, and the price process of its portfolio is described by a geometric Lévy process. By restricting the claim-size distribution to the class of extended regular variation (ERV) and imposing a constraint on the Lévy process in terms of its Laplace exponent, we obtain for the tail probability of the stochastic present value of aggregate claims a precise asymptotic formula, which holds uniformly for all time horizons. We further prove that the corresponding ruin probability also satisfies the same asymptotic formula.