Asymptotics for the ruin probability in a proportional reinsurance risk model with dependent insurance and financial risks

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：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2025年 / 54卷 / 03期

基金：

美国国家科学基金会;

关键词：

Risk model; Ruin probability; Insurance risk; Financial risk; SUBEXPONENTIALITY; PRODUCT; CLAIMS;

D O I：

10.1080/03610926.2024.2318606

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 article studies the joint ruin problem for two insurance companies that divide claims in positive proportions (modeling an insurance and re-insurance company). The arrival times of claims are delayed by a common random time. Suppose that the two insurance companies are allowed to make risk-free and risky investments, and the price processes of the corresponding investment portfolios are exponentials of jump-diffusion processes with common jumps. Furthermore, assuming that the claim sizes and their corresponding investment return jump possess a dependence structure, this article establishes an asymptotic formula for the ruin probability.

引用

页码：720 / 738

页数：19

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