Uniform asymptotics for ruin probabilities of multidimensional risk models with stochastic returns and regular variation claims

Abstract

Consider a multidimensional discrete-time risk model in terms of some dependence structure. For the case of multivariate regularly varying claims, we study the asymptotic behavior of the ruin probabilities determined by some ruin sets. The estimates hold uniformly for all time horizons. Then we focus on a ruin set that allows partial capital transfers. As an application, the optimal allocation of the initial reserve is obtained. Some numerical simulations are presented to illustrate the results.

Keywords:

• Capital transfer
• multidimensional risk model
• multivariate regular variation
• uniformly asymptotic estimates
• dependence

AMS 2020 SUBJECT CLASSIFICATION:

• 62E20
• 62P05
• 91B30

Additional information

Funding

Research supported by the Humanities and Social Science Foundation of the Ministry of Education of China (No. 17YJC910007), and by the Fundamental Research Funds for the Central Universities (No. DUT20LK27).