Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims

作者：

Highlights：

• This paper considers a multidimensional risk model with an investment return process modelled by a general càdlàg process.

• The claim sizes from different lines of business are distributed according to the multivariate regular variation.

• Conditions are proposed that can guarantee the uniformity of three types of ruin probabilities for the entire time horizon.

• The conditions proposed are weak enough to be satisfied by some stochastic processes, such as the Lévy process, Vasicek model, Cox-Ingersoll-Ross model, Heston model, and Stochastic volatility model.

摘要

•This paper considers a multidimensional risk model with an investment return process modelled by a general càdlàg process.•The claim sizes from different lines of business are distributed according to the multivariate regular variation.•Conditions are proposed that can guarantee the uniformity of three types of ruin probabilities for the entire time horizon.•The conditions proposed are weak enough to be satisfied by some stochastic processes, such as the Lévy process, Vasicek model, Cox-Ingersoll-Ross model, Heston model, and Stochastic volatility model.

论文关键词：Stochastic return,Multivariate regular variation,Risk model,Ruin probability,Càdlàg process

论文评审过程：Received 18 March 2022, Revised 16 July 2022, Accepted 19 July 2022, Available online 27 July 2022, Version of Record 27 July 2022.

论文官网地址：https://doi.org/10.1016/j.amc.2022.127436