Asymptotics of the finite-time ruin probability of dependent risk model perturbed by diffusion with a constant interest rate

Abstract

This paper considers a dependent risk model perturbed by diffusion with a constant interest rate, in which the claim sizes and the inter-arrival times have some dependence structures. When the claim sizes have a dominated varying-tailed distribution, the asymptotics of the finite-time ruin probability of the risk model have been obtained, which shows that the asymptotics of the finite-time ruin probability is insensitive to the perturbed term.

Keywords:

• Asymptotics
• finite-time ruin probability
• dependent risk model
• dominated varying tailed

AMS SUBJECT CLASSIFICATION:

• 62P05
• 62E10
• 60F05

Acknowledgments

The authors wish to thank the referee and the Editor for their very valuable comments on an earlier version of this paper. This work was finished during a research visit of Kaiyong Wang to The University of Hong Kong. They would like to thank the Department of Statistics and Actuarial Science for its excellent hospitality.

Additional information

Funding

The first author is supported by the National Natural Science Foundation of China (No. 11401418), the 333 Talent Training Project of Jiangsu Province, the Jiangsu Province Key Discipline in the 13th Five-Year Plan and the Humanities and Social Science Foundation of the Ministry of Education of China (No. 18YJC910004). The second author is supported by the Postgraduate Research & Practice Innovation Program of Jiangsu Province (No. KYCX18_2547).