Related papers: Infinite-time ruin probability of a multivariate r…
This article studies asymptotic approximations of ruin probabilities of multivariate random walks with heavy-tailed increments. Under our assumptions, the distributions of the increments are closely connected to multivariate…
We study a multidimensional renewal risk model, with common counting process and cadlag returns. Considering that the claim vectors have common distribution from some multivariate distribution class with heavy tail, are mutually weakly…
In this paper we study the asymptotic decay of finite time ruin probabilities for an insurance company that faces heavy-tailed claims, uses predictable investment strategies and makes investments in risky assets whose prices evolve…
We propose a new definition of a multivariate subexponential distribution. We compare this definition with the two existing notions of multivariate subexponentiality, and compute the asymptotic behaviour of the ruin probability in the…
Using the results of precise large deviation and renewal theory for widely dependent random variables, this paper obtains the asymptotic estimation of the random-time ruin probability and the uniform asymptotic estimation of finite-time…
In this paper, we study a multidimensional risk model with a common renewal process and in the presence of a constant interest force. The claim sizes are independent and identically distributed random vectors, with the distribution of…
We study the asymptotic behavior of ruin probabilities, as the initial reserve goes to infinity, for a reserve process model where claims arrive according to a renewal process, while between the claim times the process has the dynamics of…
In this paper, the asymptotic behavior of the entrance probability of discounted aggregate claims of a certain family of rare sets is studied, considering the finite and infinite time horizons. This multivariate risk model, driven by a…
We consider a generalization of the classical risk model when the premium intensity depends on the current surplus of an insurance company. All surplus is invested in the risky asset, the price of which follows a geometric Brownian motion.…
In this paper we examine a multivariate risk model, with common renewal counting process, constant interest rate, and each claim vector is accompanied by a random number of delayed claim vectors. The interest is focused on the asymptotic…
The present work concerns the finite-time ruin probabilities for several bidimensional risk models with constant interest force and correlated Brownian motions.} Under the condition that the two Brownian motions $\{B_1(t), t\ge 0\}$ and…
In this paper, according to a certain criterion, we divide the exponential distribution class into three subclasses. One of them is closely related to the regular-variation-tailed distribution class, so it is called the…
In this paper we consider some generalizations of the classical d-dimensional Brownian risk model. This contribution derives some non-asymptotic bounds for simultaneous ruin probabilities of interest. In addition, we obtain non-asymptotic…
This paper deals with the discrete-time risk model with nonidentically distributed claims. We suppose that the claims repeat with time periods of three units, that is, claim distributions coincide at times $\{1,4,7,\ldots\}$, at times…
The ruin probability in the classical Brownian risk model can be explicitly calculated for both finite and infinite-time horizon. This is not the case for the simultaneous ruin probability in two-dimensional Brownian risk model. Resorting…
We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival time distributions depending on the claims that arrived within a fixed (past) time window. This dependence could be explained through a regenerative…
This paper investigates ruin probabilities for a two-dimensional fractional Brownian risk model with a proportional reinsurance scheme. We focus on joint and simultaneous ruin probabilities in a finite-time horizon. The risk processes of…
This paper focuses on a discrete-time risk model in which both insurance risk and financial risk are taken into account. We study the asymptotic behaviour of the ruin probability and the tail probability of the aggregate risk amount.…
This paper obtains an asymptotic formula for the finite-time ruin probability of the compound nonhomogeneous Poisson risk model with a constant interest force, in which the claims are conditionally independent random variables with a common…
We investigate models of the life annuity insurance when the company invests its reserve into a risky asset with price following a geometric Brownian motion. Our main result is an exact asymptotic of the ruin probabilities for the case of…