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

被引：19

作者：

Wang, Kaiyong ^{[1
]}

Chen, Lamei ^{[1
]}

Yang, Yang ^{[2
]}

Gao, Miaomiao ^{[1
]}

机构：

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

[2] Nanjing Audit Univ, Dept Stat, Nanjing 211815, Jiangsu, Peoples R China

来源：

JAPAN JOURNAL OF INDUSTRIAL AND APPLIED MATHEMATICS | 2018年 / 35卷 / 03期

基金：

中国国家自然科学基金;

关键词：

Asymptotics; Finite-time ruin probability; Brownian perturbation; Levy process; The class of subexponential distributions; DISCOUNTED AGGREGATE CLAIMS; CONSTANT INTEREST FORCE; UNIFORM ASYMPTOTICS; POISSON MODEL;

D O I：

10.1007/s13160-018-0321-0

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper investigates a renewal risk model with stochastic return and Brownian perturbation, where the price process of the investment portfolio is described as a geometric Levy process. When the claim sizes have a subexponential distribution, we derive the asymptotics for the finite-time ruin probability of the above risk model. The obtained result confirms that the asymptotics for the finite-time ruin probability of the risk model with heavy-tailed claim sizes are insensitive to the Brownian perturbation.

引用

页码：1173 / 1189

页数：17

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