On joint ruin probability for a bidimensional Lévy-driven risk model with stochastic returns and heavy-tailed claims

Fu, Ke-Ang

doi:10.1016/j.jmaa.2016.04.042

Cited by 6 publications

(2 citation statements)

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“…Some other dependent cases about this risk model also have been investigated such as [21], [22], [32] and so on. A bidimensional risk model of the risk model (1) has been discussed by [8], [10], [16], [36], [38] and so on.…”

Section: Resultsmentioning

confidence: 99%

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

Xun

Yuen

Wang

2022

JIMO

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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 quasiasymptotically independent random variables with heavy-tailed distributions, the asymptotics of the finite-time ruin probability of this risk model have been obtained.1. Introduction. In this paper, we consider a risk model perturbed by a Brownian diffusion with stochastic return. In this risk model, the successive claim sizes, X i , i ≥ 1, form a sequence of identically distributed random variables (r.v.s) with common distribution F . The inter-arrival times, Y i , i ≥ 1, form another sequence of r.v.s. Denote the times of successive claims bywhere 1 A is the indicator function of a set A. In this risk model, the insurer is allowed to make risk free and risky investments. The price process of the investment portfolio is described as a geometric Lévy process {e R(t) , t ≥ 0}, where {R(t), t ≥

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Section: Resultsmentioning

confidence: 99%

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

Xun

Yuen

Wang

2022

JIMO

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“…Under proportional reinsurance, the arrangement may be quota share reinsurance with a fixed percentage of each insurance policy being reinsured. Due to its wide applications in real life, this bidimensional risk model has been studied by many researchers, and one can refer to Badescu et al [3], Foss et al [10], Fu [11], Hu and Jiang [14], and Zhang and Wang [19] for more details.…”

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confidence: 99%

A Particular Bidimensional Time-Dependent Renewal Risk Model With Constant Interest Rates

Chen

2019

Prob. Eng. Inf. Sci.

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Consider a particular bidimensional risk model, in which two insurance companies divide between them in different proportions both the premium income and the aggregate claims. In practice, it can be interpreted as an insurer–reinsurer scenario, where the reinsurer takes over a proportion of the insurer's losses. Under the assumption that the claim sizes and inter-arrival times form a sequence of independent and identically distributed random pairs, with each pair obeying a dependence structure, an asymptotic expression for the ruin probability of this bidimensional risk model with constant interest rates is established.

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Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims

Wang

Yan

Cheng

2021

Japan J. Indust. Appl. Math.

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On joint ruin probability for a bidimensional Lévy-driven risk model with stochastic returns and heavy-tailed claims

Cited by 6 publications

References 20 publications

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

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

A Particular Bidimensional Time-Dependent Renewal Risk Model With Constant Interest Rates

Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims

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