Asymptotic Finite-Time Ruin Probabilities for a Multidimensional Risk Model with Subexponential Claims

Dawei Lu (), Ting Li (), Meng Yuan () and Xinmei Shen ()
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Dawei Lu: Dalian University of Technology
Ting Li: Dalian University of Technology
Meng Yuan: Dongbei University of Finance and Economics
Xinmei Shen: Dalian University of Technology

Methodology and Computing in Applied Probability, 2024, vol. 26, issue 3, 1-28

Abstract: Abstract This paper considers a multidimensional risk model with cádlág investment return processes, in which there exists some dependence structure among claims and claim-arrival time. Specifically, if claims follow the subexponential distribution or the regular variation distribution, we obtain some precise asymptotic estimates for the finite-time ruin probabilities. In addition, some numerical simulations are presented to test the performance of the theoretical results.

Keywords: Ruin probability; Dependence; Subexponential class; Multidimensional risk model; 62P05; 91G05; 62E10 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s11009-024-10103-z

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