Asymptotics for Finite-Time Ruin Probabilities of a Dependent Bidimensional Risk Model with Stochastic Return and Subexponential Claims

The paper considers a bidimensional continuous-time risk model with subexponential claims and Brownian perturbations, in which the price processes of the investment portfolio of the two lines of business are two geometric L & eacute;vy processes and the two lines of business share a common claim-number process, which is a renewal counting process. The paper mainly considers the claims of each line of business having a dependence structure. When the claims have subexponential distributions, the asymptotics of the finite-time ruin probabilities psi and(x1,x2;T) and psi sim(x1,x2;T) have been obtained. When the distributions of claims belong to the intersection of long-tailed and dominatedly varying-tailed distribution classes, the asymptotics of the finite-time ruin probability psi or(x1,x2;T) is given.