The finite-time ruin probability of a risk model with stochastic return and subexponential claim sizes*

Chenghao Xu, Kaiyong Wang and Xinyi Wu

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 6, 2194-2204

Abstract: Consider a renewal risk model with stochastic return and stochastic perturbation, where the price process of the investment portfolio is a geometric Lévy process. When the claim sizes have a dependence structure, we derive the asymptotics of the finite-time ruin probability for all subexponential claim sizes. Particularly, when the claim sizes come from a subclass of the subexponential distribution class, the finite-time ruin probability has been estimated for claim sizes with a general dependence structure.

Date: 2024
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DOI: 10.1080/03610926.2022.2122840

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