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

被引：0
作者：
Kaiyong Wang
Lamei Chen
Yang Yang
Miaomiao Gao
机构：
[1] Suzhou University of Science and Technology,School of Mathematics and Physics
[2] Nanjing Audit University,Department of Statistics
来源：
Japan Journal of Industrial and Applied Mathematics | 2018年 / 35卷
关键词：
Asymptotics; Finite-time ruin probability; Brownian perturbation; Lévy process; The class of subexponential distributions; 62P05; 62E10; 91B30;
D O I：
暂无
中图分类号：
学科分类号：
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 Lévy 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：16
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