Ruin Problems of Multidimensional Risk Models under Constant Interest Rates and Dependent Risks with Heavy Tails

Xinmei Shen, Meng Yuan and Dawei Lu

Mathematical Problems in Engineering, 2020, vol. 2020, 1-8

Abstract:

Consider a discrete-time multidimensional risk model with constant interest rates where capital transfers between lines are partially allowed over each period. By assuming a large initial capital and regularly varying distributions for the losses, we derive asymptotic estimates for the ruin probability under some dependence structure and study the optimal allocation of the initial reserve. Some numerical simulations are provided to illuminate our main results.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:9489612

DOI: 10.1155/2020/9489612

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