Finite- and Infinite-Time Ruin Probabilities with General Stochastic Investment Return Processes and Bivariate Upper Tail Independent and Heavy-Tailed Claims
Finite- and Infinite-Time Ruin Probabilities with General Stochastic Investment Return Processes and Bivariate Upper Tail Independent and Heavy-Tailed Claims
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DOI：
10.1239/aap/1363354110
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发表时间：
2013-03
影响因子：
1.2
通讯作者：
Fenglong Guo;Dingcheng Wang
中科院分区：
文献类型：
--
作者：
Fenglong Guo;Dingcheng Wang
本文研究了一类Poisson风险模型的有限时间和无限时间破产概率的渐近性态，该模型具有一般适应càdlàg过程和两变量上尾独立的重尾索赔额.本文的结果表明，渐近破产概率受保险风险极值的控制，而不受投资风险极值的控制。作为结果的应用，我们讨论了投资收益由分数布朗运动、积分Vasicek模型、积分Cox-Ingersoll-Ross模型和赫斯顿模型决定的四种特殊情形.
In this paper we investigate the asymptotic behaviors of the finite- and infinite-time ruin probabilities for a Poisson risk model with stochastic investment returns which constitute a general adapted càdlàg process and heavy-tailed claim sizes which are bivariate upper tail independent. The results of this paper show that the asymptotic ruin probabilities are dominated by the extreme of insurance risk but not by that of investment risk. As applications of the results, we discuss four special cases when the investment returns are determined by a fractional Brownian motion, an integrated Vasicek model, an integrated Cox–Ingersoll–Ross model, and the Heston model.