Finite-time ruin probability of a perturbed risk model with dependent main and delayed claims

被引：13

作者：

Yang, Yang ^{[1
]}

Wang, Xinzhi ^{[1
]}

Zhang, Zhimin ^{[2
]}

机构：

[1] Nanjing Audit Univ, Sch Stat & Math, 86 West Yushan Rd, Nanjing 211815, Peoples R China

[2] Chongqing Univ, Coll Math & Stat, 174 Shazheng Rd, Chongqing 401331, Peoples R China

来源：

NONLINEAR ANALYSIS-MODELLING AND CONTROL | 2021年 / 26卷 / 05期

基金：

中国国家自然科学基金;

关键词：

finite-time ruin probability; main and delayed claims; stochastic return; subexponential distribution; dependence; RANDOM-VARIABLES; ASYMPTOTICS; SUMS;

D O I：

10.15388/namc.2021.26.23963

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper considers a delayed claim risk model with stochastic return and Brownian perturbation in which each main claim may be accompanied with a delayed claim occurring after a stochastic period of time, and the price process of the investment portfolio is described as a geometric Levy process. By means of the asymptotic results for randomly weighted sum of dependent subexponential random variables we obtain some asymptotics for finite-time ruin probability. A simulation study is also performed to check the accuracy of the obtained theoretical result via the crude Monte Carlo method.

引用

页码：801 / 820

页数：20

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