Asymptotic Finite-Time Ruin Probabilities for a Multidimensional Risk Model with Subexponential Claims

被引：0

作者：

Lu, Dawei ^{[1
]}

Li, Ting ^{[1
]}

Yuan, Meng ^{[2
]}

Shen, Xinmei ^{[1
]}

机构：

[1] Dalian Univ Technol, Sch Math Sci, Dalian 116023, Peoples R China

[2] Dongbei Univ Finance & Econ, Sch Data Sci & Artificial Intelligence, Dalian 116025, Peoples R China

来源：

METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY | 2024年 / 26卷 / 03期

基金：

国家重点研发计划; 中国国家自然科学基金;

关键词：

Ruin probability; Dependence; Subexponential class; Multidimensional risk model; UNIFORM ASYMPTOTICS; SUMS;

D O I：

10.1007/s11009-024-10103-z

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper considers a multidimensional risk model with c & aacute;dl & aacute;g investment return processes, in which there exists some dependence structure among claims and claim-arrival time. Specifically, if claims follow the subexponential distribution or the regular variation distribution, we obtain some precise asymptotic estimates for the finite-time ruin probabilities. In addition, some numerical simulations are presented to test the performance of the theoretical results.

引用

页数：28

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