The finite-time ruin probability of a risk model with a general counting process and stochastic return

Baoyin Xun; Kam C. Yuen; Kaiyong Wang

doi:10.3934/jimo.2021032

Article Contents

2022, Volume 18, Issue 3: 1541-1556. Doi: 10.3934/jimo.2021032

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The finite-time ruin probability of a risk model with a general counting process and stochastic return

1.
School of Mathematics and Physics, Suzhou University of Science and Technology, Suzhou, 215009, China
2.
Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong, China

^* Corresponding author: Kaiyong Wang
^* Corresponding author: Kaiyong Wang

Received: June 30, 2020

Revised: November 30, 2020

Published: May 2022

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Abstract

This paper considers a general risk model with stochastic return and a Brownian perturbation, where the claim arrival process is a general counting process and the price process of the investment portfolio is expressed as a geometric Lévy process. When the claim sizes are pairwise strong quasi-asymptotically independent random variables with heavy-tailed distributions, the asymptotics of the finite-time ruin probability of this risk model have been obtained.

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Mathematics Subject Classification: Primary: 62P05, 62E10; Secondary: 60F05.

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