科研之友
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摘要
This note deals with the multiple lines of business of an insurance company, in which capital transfers between lines are partially allowed. Under the framework of heavy-tailed non-identically marginal distributed claim amounts with some dependent structure, we derive the asymptotic finite-time ruin probability and study the optimal allocation of the global initial reserve in the sense of minimizing the asymptotic ruin probability. Some numerical simulations results are presented as well.
