Uniform Asymptotic Estimate for the Ruin Probability in a Renewal Risk Model with Cox-Ingersoll-Ross Returns

被引：0
|
作者：
Cheng, Ming [1 ]
Wang, Dingcheng [1 ]
机构：
[1] Univ Elect Sci & Technol China, Sch Math Sci, Chengdu 611731, Peoples R China
来源：
MATHEMATICS | 2023年 / 11卷 / 05期
基金：
美国国家科学基金会;
关键词：
uniform; asymptotics; the Cox-Ingersoll-Ross model; ruin probability; risk model; INVESTMENT RETURN; TIME; CLAIMS;
D O I：
10.3390/math11051225
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
Consider an insurance risk model with arbitrary dependence structures between the claim sizes. Suppose that the risky investment in the insurer can be established by the Cox-Ingersoll-Ross model. When the claim-size distribution is heavy-tailed, a uniform asymptotic formula for ruin probability is obtained.
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页数：10
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