The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation
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This paper investigates a renewal risk model with stochastic return and Brownian perturbation, where the price process of the investment portfolio is described as a geometric Lévy process. When the claim sizes have a subexponential distribution, we derive the asymptotics for the finite-time ruin probability of the above risk model. The obtained result confirms that the asymptotics for the finite-time ruin probability of the risk model with heavy-tailed claim sizes are insensitive to the Brownian perturbation.
KeywordsAsymptotics Finite-time ruin probability Brownian perturbation Lévy process The class of subexponential distributions
Mathematics Subject Classification62P05 62E10 91B30
The authors wish to thank the referees and the Editor for their very valuable comments on an earlier version of this paper.