The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation

被引：2

作者：

Xun, Baoyin ^{[1
]}

Wang, Kaiyong ^{[1
]}

Yuen, Kam C. ^{[2
]}

机构：

[1] Suzhou Univ Sci & Technol, Sch Math & Phys, Suzhou 215009, Peoples R China

[2] Univ Hong Kong, Dept Stat & Actuarial Sci, Pokfulam Rd, Hong Kong, Peoples R China

来源：

JAPAN JOURNAL OF INDUSTRIAL AND APPLIED MATHEMATICS | 2020年 / 37卷 / 02期

基金：

中国国家自然科学基金;

关键词：

Finite-time ruin probability; Levy process; Brownian perturbation; Heavy-tailed distribution; DISCOUNTED AGGREGATE CLAIMS; UNIFORM ASYMPTOTICS; TAIL ASYMPTOTICS; RANDOM-VARIABLES; SUMS;

D O I：

10.1007/s13160-020-00406-2

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper considers a dependent risk model with stochastic return and Brownian perturbation, where there exists a dependence structure between the claim sizes and the inter-arrival times and the price process of the investment portfolio is a geometric Levy process. When the claim sizes have heavy-tailed distributions, the asymptotic lower and upper bounds of the finite-time ruin probability have been given.

引用

页码：507 / 525

页数：19

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