Asymptotic behavior of ruin probabilities in a multidimensional risk model with investment and multivariate regularly varying claims. (English) Zbl 1515.91139
Summary: Consider a continuous-time multidimensional risk model with investment in which an insurer simultaneously operates \(d\) kinds of businesses. The claim-size vectors form a sequence of independent and identically distributed nonnegative random vectors; the claim-number processes, renewal counting ones or not, are arbitrarily dependent on each other; and the price process of the investment portfolio is described as a geometric Lévy process. Under the framework of the multivariate regular variation structure on the generic claim-size vector, this paper establishes some asymptotic formulas for three types of ruin probabilities.
Keywords:
asymptotic behavior; ruin probability; multidimensional risk model; geometric Lévy price process of investment portfolio; multivariate regular variationReferences:
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