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.
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页码：1173 / 1189
页数：17
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