Abstract
Recently, Jiang et al. (Statist. Probab. Lett. 101, 83–91) obtained the asymptotic formulas for the large deviations for the stochastic present value of aggregate claims in the renewal risk model with Pareto-type claims and stochastic return on investments, where the price process of the investment portfolio is described as a geometric Lévy process. In the paper, we extend the above results to a nonstandard compound renewal risk model with widely upper orthant dependent and dominatedly-varying-tailed claims.
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