Asymptotic ruin probability of a renewal risk model with dependent by-claims and stochastic returns

作者：Fu, Ke-Ang^*; Li, Huijie

来源：Journal of Computational and Applied Mathematics, 2016, 306: 154-165.

DOI：10.1016/j.cam.2016.03.038

• By-claim
• Dominatedly varying tail
• Investment return
• Quasi-asymptotic independence
• Ruin probability

Consider a nonstandard renewal risk model, in which every main claim induces a delayed by-claim. Suppose that the surplus is invested to a portfolio of one risk-free asset and one risky asset, and the main claim sizes with by-claim sizes form a sequence of pairwise quasi-asymptotically independent random variables with dominatedly varying tails. Under this setting, asymptotic behavior of the ruin probability of this renewal risk model is investigated, by establishing a weakly asymptotic formula, as the initial surplus tends to infinity. Some numerical results are also presented to illustrate the accuracy of our asymptotic formulae.

• 出版日期2016-11
• 单位浙江工商大学