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Asymptotic Finite-Time Ruin Probabilities for a Multidimensional Risk Model with Subexponential Claims

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Listed:
  • Dawei Lu

    (Dalian University of Technology)

  • Ting Li

    (Dalian University of Technology)

  • Meng Yuan

    (Dongbei University of Finance and Economics)

  • Xinmei Shen

    (Dalian University of Technology)

Abstract

This paper considers a multidimensional risk model with cádlág investment return processes, in which there exists some dependence structure among claims and claim-arrival time. Specifically, if claims follow the subexponential distribution or the regular variation distribution, we obtain some precise asymptotic estimates for the finite-time ruin probabilities. In addition, some numerical simulations are presented to test the performance of the theoretical results.

Suggested Citation

  • 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.
    • Handle: RePEc:spr:metcap:v:26:y:2024:i:3:d:10.1007_s11009-024-10103-z
    DOI: 10.1007/s11009-024-10103-z
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    References listed on IDEAS

    as
    1. 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.
    2. Hao, Xuemiao & Tang, Qihe, 2008. "A uniform asymptotic estimate for discounted aggregate claims with subexponential tails," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 116-120, August.
    3. Fengyang Cheng & Dongya Cheng, 2018. "Randomly weighted sums of dependent subexponential random variables with applications to risk theory," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2018(3), pages 191-202, March.
    4. Dawei Lu & Meng Yuan, 2022. "Asymptotic Finite-Time Ruin Probabilities for a Bidimensional Delay-Claim Risk Model with Subexponential Claims," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 2265-2286, December.
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