Consider a multidimensional renewal risk model, in which the claim sizes {Xk, k ≥1} form a sequence of independent and identically distributed random vectors with nonnegative components that are allowed to be depende...Consider a multidimensional renewal risk model, in which the claim sizes {Xk, k ≥1} form a sequence of independent and identically distributed random vectors with nonnegative components that are allowed to be dependent on each other. The univariate marginal distributions of these vectors have consistently varying tails and finite means. Suppose that the claim sizes and inter-arrival times correspondingly form a sequence of independent and identically distributed random pairs, with each pair obeying a dependence structure. A precise large deviation for the multidimensional renewal risk model is obtained.展开更多
This paper studies a multidimensional delay-claim risk model in which an insurance company operates$d(d≥2) lines of business exposed to a common renewal counting process.Each catastrophic event simultaneously produce...This paper studies a multidimensional delay-claim risk model in which an insurance company operates$d(d≥2) lines of business exposed to a common renewal counting process.Each catastrophic event simultaneously produces main and delayed claims across all business lines,where the delayed claims are settled after random delay periods.The surplus process incorporates a geometric Lévy price process to describe investment returns.Assuming that the main and delayed claims follow subexponential distributions and satisfy a conditional linear dependence structure,we derive asymptotic estimates for the finite-time ruin probability.The obtained results extend existing findings on delay-claim models to the multidimensional framework and contribute to a deeper understanding of ruin behavior under dependence and heavy-tailed risks.展开更多
基金Supported by the National Natural Science Foundation of China(Nos.11571058&11301481)Humanities and Social Science Foundation of the Ministry of Education of China(No.17YJC910007)+1 种基金Zhejiang Provincial Natural Science Foundation of China(No.LY17A010004)Fundamental Research Funds for the Central Universities(No.DUT17LK31)
文摘Consider a multidimensional renewal risk model, in which the claim sizes {Xk, k ≥1} form a sequence of independent and identically distributed random vectors with nonnegative components that are allowed to be dependent on each other. The univariate marginal distributions of these vectors have consistently varying tails and finite means. Suppose that the claim sizes and inter-arrival times correspondingly form a sequence of independent and identically distributed random pairs, with each pair obeying a dependence structure. A precise large deviation for the multidimensional renewal risk model is obtained.
文摘This paper studies a multidimensional delay-claim risk model in which an insurance company operates$d(d≥2) lines of business exposed to a common renewal counting process.Each catastrophic event simultaneously produces main and delayed claims across all business lines,where the delayed claims are settled after random delay periods.The surplus process incorporates a geometric Lévy price process to describe investment returns.Assuming that the main and delayed claims follow subexponential distributions and satisfy a conditional linear dependence structure,we derive asymptotic estimates for the finite-time ruin probability.The obtained results extend existing findings on delay-claim models to the multidimensional framework and contribute to a deeper understanding of ruin behavior under dependence and heavy-tailed risks.
