Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns
Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns
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具有随机投资回报的二维风险模型中破产概率的渐近结果
DOI：
10.1016/j.cam.2017.04.049
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发表时间：
2017-12
影响因子：
2.4
通讯作者：
Hailiang Yang
中科院分区：
文献类型：
--
作者：
Fenglong Guo;Dingcheng Wang;Hailiang Yang
This paper considers a two-dimensional time-dependent risk model with stochastic investment returns. In the model, an insurer operates two lines of insurance businesses sharing a common claim number process and can invest its surplus into some risky assets. The claim number process is assumed to be a renewal counting process and the investment return is modeled by a geometric Lévy process. Furthermore, claim sizes of the two insurance businesses and their common inter-arrival times correspondingly follow a three-dimensional Sarmanov distribution. When claim sizes of the two lines of insurance businesses are heavy tailed, we establish some uniform asymptotic formulas for the ruin probability of the model over certain time horizon. Also, we show the accuracy of these asymptotic estimates for the ruin probability under the risk model by numerical studies.
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影响因子：
1.3
作者：
Yang Chen;Yuebao Wang;Kaiyong Wang
通讯作者：
Yang Chen;Yuebao Wang;Kaiyong Wang
DOI：
--
发表时间：
1999-11
期刊：
--
影响因子：
--
作者：
Ken-iti Sato
通讯作者：
Ken-iti Sato
影响因子：
0.7
作者：
通讯作者：
--
影响因子：
1.9
作者：
C. Klüppelberg;Radostina Kostadinova
通讯作者：
C. Klüppelberg;Radostina Kostadinova
DOI：
10.2139/ssrn.242367
发表时间：
2001-08
期刊：
American Finance Association Meetings (AFA)
影响因子：
--
作者：
S. Kou
通讯作者：
S. Kou