Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return

This paper is devoted to asymptotic analysis for a multi-dimensional risk model with a general dependence structure and stochastic return driven by a geometric Levy process. We take into account both the dependence among the claim sizes from different lines of businesses and that between the claim sizes and their common claim-number process. Under certairi mild technical conditions, we obtain for two types of ruin probabilities precise asymptotic expansions which hold uniformly for the whole time horizon. (C) 2016 Elsevier B.V. All rights reserved.