Let R（t）=u＋ct-∑ I=1^N（t） Xi,t≥0 be the renewal risk model, with Fx（x）being the distribution function of the claim amount X. Let ψ（u） be the ruin probability with initial surplus u. Under the condition of F...Let R（t）=u＋ct-∑ I=1^N（t） Xi,t≥0 be the renewal risk model, with Fx（x）being the distribution function of the claim amount X. Let ψ（u） be the ruin probability with initial surplus u. Under the condition of Fx（x） ∈ S^＊（γ）,y ≥ 0, by the geometric sum method, we derive the local asymptotic behavior for ψ（u,u ＋ z] for every 0 （ z （ oo, On one hand, the asymptotic behavior of ψ（u） can be derived from the result obtained. On the other hand, the result of this paper can be applied to the insurance risk management of an insurance company.展开更多
Under the assumption that the claim size is subexponentially distributed and the insurance surplus is totally invested in risky asset,a simple asymptotic relation of tail probability of discounted aggregate claims for...Under the assumption that the claim size is subexponentially distributed and the insurance surplus is totally invested in risky asset,a simple asymptotic relation of tail probability of discounted aggregate claims for renewal risk model within finite horizon is obtained.The result extends the corresponding conclusions of related references.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 (70273029)
文摘Let R（t）=u＋ct-∑ I=1^N（t） Xi,t≥0 be the renewal risk model, with Fx（x）being the distribution function of the claim amount X. Let ψ（u） be the ruin probability with initial surplus u. Under the condition of Fx（x） ∈ S^＊（γ）,y ≥ 0, by the geometric sum method, we derive the local asymptotic behavior for ψ（u,u ＋ z] for every 0 （ z （ oo, On one hand, the asymptotic behavior of ψ（u） can be derived from the result obtained. On the other hand, the result of this paper can be applied to the insurance risk management of an insurance company.
基金Supported by the National Natural Science Foundation of China(70871104)the Planning Project of the National Educational Bureau of China(08JA630078)the Project of Key Research Base of Human and Social Sciences(Finance)for Colleges in Zhejiang Province(Grant No.of Academic Education of Zhejiang[2008]255)
文摘Under the assumption that the claim size is subexponentially distributed and the insurance surplus is totally invested in risky asset,a simple asymptotic relation of tail probability of discounted aggregate claims for renewal risk model within finite horizon is obtained.The result extends the corresponding conclusions of related references.
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.
