考虑一般投资收益和时间相依索赔情形下二维带扰动风险模型的有限时间破产概率渐近估计

Abstract

Abstract:

The paper considers a bi-dimensional perturbed insurance risk model with general investment returns. Assume that the investment return is described by a càdlàg process, and two classes of claims and the inter-arrival times follow the Sarmanov dependence structure. When the claim-size distribution has a regularly varying tail, the paper derives the asymptotic formula of the finite-time ruin probability. When the càdlàg process describing investment returns is chosen as the Lévy process, Vasicek interest rate model, Cox-Ingersoll-Ross (CIR) interest rate model, or Heston model, the paper derives the asymptotic estimates for ruin probabilities under the corresponding investment returns.

Key words: Risk model, Investment return, Time-dependence, Ruin probability

CLC Number:

O211.4

Cheng Ming,Wang Dingcheng. Asymptotic Finite-Time Ruin Probability for a Bidimensional Perturbed Risk Model with General Investment Returns and Time-Dependent Claim Sizes[J].Acta mathematica scientia,Series A, 2023, 43(5): 1529-1558.

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Asymptotic Finite-Time Ruin Probability for a Bidimensional Perturbed Risk Model with General Investment Returns and Time-Dependent Claim Sizes

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