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

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Abstract

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.

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Acknowledgements

The authors wish to thank the referees and the Editor for their very valuable comments on an earlier version of this paper.

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Authors and Affiliations

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

    Kaiyong Wang, Lamei Chen & Miaomiao Gao

  2. Department of Statistics, Nanjing Audit University, Nanjing, 211815, China

    Yang Yang

Authors
  1. Kaiyong Wang
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  2. Lamei Chen
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  3. Yang Yang
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  4. Miaomiao Gao
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Corresponding author

Correspondence to Yang Yang.

Additional information

Kaiyong Wang is supported by the National Natural Science Foundation of China (No. 11401418) and the 333 Talent Training Project of Jiangsu Province. Lamei Chen is supported by the Postgraduate Research and Practice Innovation Program of Jiangsu Province (No. KYCX17_2058). Yang Yang is supported by the National Natural Science Foundation of China (Nos. 71471090, 71671166), the Natural Science Foundation of Jiangsu Province (No. BK20161578), the Major Research Plan of Natural Science Foundation of the Jiangsu Higher Education Institutions (No. 15KJA110001), Qing Lan Project, PAPD, the Program of Excellent Science and Technology Innovation Team of the Jiangsu Higher Education Institutions, the 333 Talent Training Project of Jiangsu Province, the High Level Talent Project of Six Talents Peak of Jiangsu Province (No. JY-039), the Project of Construction for Superior Subjects of Mathematics/Statistics of Jiangsu Higher Education Institutions, the Key Project of Jiangsu Education Science 12th Five-Year Program (No. B-a/2015/02/036).

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Wang, K., Chen, L., Yang, Y. et al. The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation. Japan J. Indust. Appl. Math. 35, 1173–1189 (2018). https://doi.org/10.1007/s13160-018-0321-0

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  • DOI: https://doi.org/10.1007/s13160-018-0321-0

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