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Asymptotics for aggregated interdependent multivariate subexponential claims with general investment returns
Zhangting Chen, Dimitrios G. Konstantinides, Charalampos D. Passalidis
https://arxiv.org/abs/2507.23713

Asymptotics for aggregated interdependent multivariate subexponential claims with general investment returns
This paper investigates asymptotic estimates for the entrance probability of the discounted aggregate claim vector from a multivariate renewal risk model into some rare set. We provide asymptotic results for the entrance probability on both finite and infinite time horizons under various assumptions regarding the stochastic price process of the investment portfolio, the distribution class of claim vectors, and the dependence structure among the claim vectors. We note that the main results exten…