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：
中国国家自然科学基金; 国家重点研发计划;
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
收藏
页数：28
相关论文
共 50 条
12345