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

共 50 条

[41] Uniform asymptotics for finite-time ruin probabilities of a bidimensional compound risk model with stochastic returns
Li, Mingjun
Chen, Zhangting
Cheng, Dongya
Zhou, Junyi
STATISTICS & PROBABILITY LETTERS, 2024, 207
[42] Finite-time ruin probability in the inhomogeneous claim case
Blaževičius K.
Bieliauskiene E.
Šiaulys J.
Lithuanian Mathematical Journal, 2010, 50 (3) : 260 - 270
[43] On the evaluation of finite-time ruin probabilities in a dependent risk model
Dimitrova, Dimitrina S.
Kaishev, Vladimir K.
Zhao, Shouqi
APPLIED MATHEMATICS AND COMPUTATION, 2016, 275 : 268 - 286
[44] FINITE-TIME RUIN PROBABILITY IN THE INHOMOGENEOUS CLAIM CASE
Blazevicius, K.
Bieliauskiene, E.
Siaulys, J.
LITHUANIAN MATHEMATICAL JOURNAL, 2010, 50 (03) : 260 - 270
[45] Finite-time Ruin Probability of Aggregate Gaussian Processes
Debicki, K.
Hashorva, E.
Ji, Lanpeng
Tan, Zhongquan
MARKOV PROCESSES AND RELATED FIELDS, 2014, 20 (03) : 435 - 450
[46] The Finite-time Ruin Probability of a Discrete-time Risk Model with Subexponential and Dependent Insurance and Financial Risks
Shi-jie WANG
Chuan-wei ZHANG
Xue-jun WANG
Wen-sheng WANG
ActaMathematicaeApplicataeSinica, 2018, 34 (03) : 553 - 565
[47] The Finite-time Ruin Probability of a Discrete-time Risk Model with Subexponential and Dependent Insurance and Financial Risks
Shi-jie Wang
Chuan-wei Zhang
Xue-jun Wang
Wen-sheng Wang
Acta Mathematicae Applicatae Sinica, English Series, 2018, 34 : 553 - 565
[48] The finite-time ruin probability of a discrete-time risk model with GARCH discounted factors and dependent risks
Liu, Rongfei
Wang, Dingcheng
Guo, Fenglong
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2018, 47 (17) : 4170 - 4186
[49] Uniformly asymptotic behavior of ruin probabilities in a time-dependent renewal risk model with stochastic return
Yang, Yang
Zhang, Zhimin
Jiang, Tao
Cheng, Dongya
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2015, 287 : 32 - 43
[50] UNIFORM ASYMPTOTICS FOR THE FINITE-TIME RUIN PROBABILITY IN A GENERAL RISK MODEL WITH PAIRWISE QUASI-ASYMPTOTICALLY INDEPENDENT CLAIMS AND CONSTANT INTEREST FORCE
Gao, Qingwu
Yang, Yang
BULLETIN OF THE KOREAN MATHEMATICAL SOCIETY, 2013, 50 (02) : 611 - 626

← 1 2 3 4 5 →