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Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return

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  • Li, Jinzhu

Abstract

This paper is devoted to asymptotic analysis for a multi-dimensional risk model with a general dependence structure and stochastic return driven by a geometric Lévy process. We take into account both the dependence among the claim sizes from different lines of businesses and that between the claim sizes and their common claim-number process. Under certain mild technical conditions, we obtain for two types of ruin probabilities precise asymptotic expansions which hold uniformly for the whole time horizon.

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  • Li, Jinzhu, 2016. "Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 195-204.
    • Handle: RePEc:eee:insuma:v:71:y:2016:i:c:p:195-204
    DOI: 10.1016/j.insmatheco.2016.09.003
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    Cited by:

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    3. Dawei Lu & Ting Li & Meng Yuan & Xinmei Shen, 2024. "Asymptotic Finite-Time Ruin Probabilities for a Multidimensional Risk Model with Subexponential Claims," Methodology and Computing in Applied Probability, Springer, vol. 26(3), pages 1-28, September.
    4. Ming Cheng & Dingcheng Wang, 2023. "Uniform Asymptotic Estimate for the Ruin Probability in a Renewal Risk Model with Cox–Ingersoll–Ross Returns," Mathematics, MDPI, vol. 11(5), pages 1-10, March.
    5. Cheng, Ming & Konstantinides, Dimitrios G. & Wang, Dingcheng, 2022. "Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims," Applied Mathematics and Computation, Elsevier, vol. 434(C).
    6. Yuan, Meng & Lu, Dawei, 2023. "Asymptotics for a time-dependent by-claim model with dependent subexponential claims," Insurance: Mathematics and Economics, Elsevier, vol. 112(C), pages 120-141.

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