Uniform Asymptotic Estimate for the Ruin Probability in a Renewal Risk Model with Cox–Ingersoll–Ross Returns

Ming Cheng and Dingcheng Wang ()
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Ming Cheng: School of Mathematical Sciences, University of Electronic Science and Technology of China, Chengdu 611731, China
Dingcheng Wang: School of Mathematical Sciences, University of Electronic Science and Technology of China, Chengdu 611731, China

Mathematics, 2023, vol. 11, issue 5, 1-10

Abstract: Consider an insurance risk model with arbitrary dependence structures between the claim sizes. Suppose that the risky investment in the insurer can be established by the Cox–Ingersoll–Ross model. When the claim-size distribution is heavy-tailed, a uniform asymptotic formula for ruin probability is obtained.

Keywords: uniform; asymptotics; the Cox–Ingersoll–Ross model; ruin probability; risk model (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2023
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