Uniform asymptotics for a nonstandard compound renewal risk model with dependence structures and stochastic return on investments

Abstract

Consider a nonstandard compound renewal risk model with stochastic return on investments, where the price process of investment portfolio is modeled as an exponential Lévy process. In the presence of heavy tails and dependence structures among modeling components, we study the uniform asymptotics of the tail probability of stochastic discounted aggregate claims and the finite-time ruin probability for all time varying in a relevant finite or infinite interval.