In this paper,we consider a non-standard renewal risk model with dependent claim sizes,where an insurance company is allowed to invest his/her wealth in financial assets,leading to some stochastic investment log-retur...In this paper,we consider a non-standard renewal risk model with dependent claim sizes,where an insurance company is allowed to invest his/her wealth in financial assets,leading to some stochastic investment log-returns described as a general adapted càdlàg process.Under the assumptions that the claim sizes are heavy-tailed and the stochastic log-return process on investments is bounded from below almost surely,we derive some asymptotic formulas for the finite-time ruin probability holding uniformly in any finite time horizon.展开更多
基金his paper is supported by the Humanities and Social Sciences Foundation of the Ministry of Education of China(No.20YJA910006)Natural Science Foundation of Jiangsu Province(No.BK20201396)+2 种基金Natural Science Foundation of the Jiangsu Higher Education Institutions(No.19KJA180003)the Grant from the Research Grants Council of the Hong Kong Special Administrative Region,China(Project No.HKU17329216)the CAE 2013 Research Grant from the Society of Actuaries.
文摘In this paper,we consider a non-standard renewal risk model with dependent claim sizes,where an insurance company is allowed to invest his/her wealth in financial assets,leading to some stochastic investment log-returns described as a general adapted càdlàg process.Under the assumptions that the claim sizes are heavy-tailed and the stochastic log-return process on investments is bounded from below almost surely,we derive some asymptotic formulas for the finite-time ruin probability holding uniformly in any finite time horizon.
