Asymptotics for the ruin probability in a proportional reinsurance risk model with dependent insurance and financial risks

Ming Cheng and Dingcheng Wang

Communications in Statistics - Theory and Methods, 2025, vol. 54, issue 3, 720-738

Abstract: This article studies the joint ruin problem for two insurance companies that divide claims in positive proportions (modeling an insurance and re-insurance company). The arrival times of claims are delayed by a common random time. Suppose that the two insurance companies are allowed to make risk-free and risky investments, and the price processes of the corresponding investment portfolios are exponentials of jump-diffusion processes with common jumps. Furthermore, assuming that the claim sizes and their corresponding investment return jump possess a dependence structure, this article establishes an asymptotic formula for the ruin probability.

Date: 2025
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DOI: 10.1080/03610926.2024.2318606

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