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The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation

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Abstract

This paper considers a dependent risk model with stochastic return and Brownian perturbation, where there exists a dependence structure between the claim sizes and the inter-arrival times and the price process of the investment portfolio is a geometric Lévy process. When the claim sizes have heavy-tailed distributions, the asymptotic lower and upper bounds of the finite-time ruin probability have been given.

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Acknowledgements

The authors wish to thank the referees for their very valuable comments on an earlier version of this paper. This work was finished during a research visit of Kaiyong Wang to The University of Hong Kong. He would like to thank the Department of Statistics and Actuarial Science for its excellent hospitality. The Second author is supported by the National Natural Science Foundation of China (No. 11401418), the 333 Talent Training Project of Jiangsu Province and the Jiangsu Province Key Discipline in the 13th Five-Year Plan. The third author is supported by the Research Grants Council of Hong Kong Special Administrative Region, China (No. HKU17329216).

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Authors and Affiliations

  1. School of Mathematics and Physics, Suzhou University of Science and Technology, Suzhou, 215009, China

    Baoyin Xun & Kaiyong Wang

  2. Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong, China

    Kam C. Yuen

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  1. Baoyin Xun
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  2. Kaiyong Wang
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  3. Kam C. Yuen
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Correspondence to Kaiyong Wang.

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Xun, B., Wang, K. & Yuen, K.C. The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation. Japan J. Indust. Appl. Math. 37, 507–525 (2020). https://doi.org/10.1007/s13160-020-00406-2

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  • DOI: https://doi.org/10.1007/s13160-020-00406-2

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