Uniform asymptotics for discounted aggregate claims in dependent multi-risk model

Abstract

ABSTRACTIn this paper, we consider a nonstandard renewal multi-risk model where a company has n types of independent insurance contracts and each contract has some dependent claims and stochastic return. The price process of the investment portfolio is described as a geometric Lévy process. When the claim size distribution belongs to the class of , we can get some asymptotic formulae for the tail probability of n types contracts’ discounted aggregate claims and ruin probabilities, holding uniformly for some finite horizons.