The finite-time ruin probabilities of a dependent bidimensional risk model with subexponential claims and Brownian perturbations
The paper considers a dependent bidimensional risk model with stochastic return and Brownian perturbations in which the price processes of the investment portfolio of the two lines of business are two geometric Lévy processes, and the claim-number processes of the two lines of business follows two...
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| Format: | Article |
| Language: | English |
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Vilnius University Press
2025-03-01
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| Series: | Nonlinear Analysis |
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| Online Access: | https://www.journals.vu.lt/nonlinear-analysis/article/view/39327 |
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| _version_ | 1850218828914491392 |
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| author | Chenghao Xu Xiaowen Shen Kaiyong Wang |
| author_facet | Chenghao Xu Xiaowen Shen Kaiyong Wang |
| author_sort | Chenghao Xu |
| collection | DOAJ |
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The paper considers a dependent bidimensional risk model with stochastic return and Brownian perturbations in which the price processes of the investment portfolio of the two lines of business are two geometric Lévy processes, and the claim-number processes of the two lines of business follows two different stochastic processes, which can be dependent. When the two components of each pair of claims from the two lines of business are strongly asymptotically independent and have subexponential distributions, the asymptotics of the finite-time ruin probability are obtained. Numerical studies are carried out to check the accuracy of the asymptotics of the finite-time ruin probability for the claims having regularly varying tail distributions.
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| format | Article |
| id | doaj-art-76d039e9c54f4d1b9bd04a8f611c7e6c |
| institution | OA Journals |
| issn | 1392-5113 2335-8963 |
| language | English |
| publishDate | 2025-03-01 |
| publisher | Vilnius University Press |
| record_format | Article |
| series | Nonlinear Analysis |
| spelling | doaj-art-76d039e9c54f4d1b9bd04a8f611c7e6c2025-08-20T02:07:35ZengVilnius University PressNonlinear Analysis1392-51132335-89632025-03-013010.15388/namc.2025.30.39327The finite-time ruin probabilities of a dependent bidimensional risk model with subexponential claims and Brownian perturbationsChenghao Xu0Xiaowen Shen1Kaiyong Wang2University of Electronic Science and Technology of ChinaSuzhou University of Science and TechnologySuzhou University of Science and Technology The paper considers a dependent bidimensional risk model with stochastic return and Brownian perturbations in which the price processes of the investment portfolio of the two lines of business are two geometric Lévy processes, and the claim-number processes of the two lines of business follows two different stochastic processes, which can be dependent. When the two components of each pair of claims from the two lines of business are strongly asymptotically independent and have subexponential distributions, the asymptotics of the finite-time ruin probability are obtained. Numerical studies are carried out to check the accuracy of the asymptotics of the finite-time ruin probability for the claims having regularly varying tail distributions. https://www.journals.vu.lt/nonlinear-analysis/article/view/39327subexponential distributionfinite-time ruin probabilitystochastic returnLévy process |
| spellingShingle | Chenghao Xu Xiaowen Shen Kaiyong Wang The finite-time ruin probabilities of a dependent bidimensional risk model with subexponential claims and Brownian perturbations Nonlinear Analysis subexponential distribution finite-time ruin probability stochastic return Lévy process |
| title | The finite-time ruin probabilities of a dependent bidimensional risk model with subexponential claims and Brownian perturbations |
| title_full | The finite-time ruin probabilities of a dependent bidimensional risk model with subexponential claims and Brownian perturbations |
| title_fullStr | The finite-time ruin probabilities of a dependent bidimensional risk model with subexponential claims and Brownian perturbations |
| title_full_unstemmed | The finite-time ruin probabilities of a dependent bidimensional risk model with subexponential claims and Brownian perturbations |
| title_short | The finite-time ruin probabilities of a dependent bidimensional risk model with subexponential claims and Brownian perturbations |
| title_sort | finite time ruin probabilities of a dependent bidimensional risk model with subexponential claims and brownian perturbations |
| topic | subexponential distribution finite-time ruin probability stochastic return Lévy process |
| url | https://www.journals.vu.lt/nonlinear-analysis/article/view/39327 |
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