Open AccessThe finite-time ruin probability of a risk model with a general counting process and stochastic return
Author(s) -
Baoyin Xun,
Kam Chuen Yuen,
Kaiyong Wang
Publication year - 2022
Publication title -
journal of industrial and management optimization
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.325
H-Index - 32
eISSN - 1553-166X
pISSN - 1547-5816
DOI - 10.3934/jimo.2021032
Subject(s) - counting process , mathematics , pairwise comparison , portfolio , risk process , brownian motion , stochastic process , brownian bridge , risk model , mathematical economics , statistics , economics , finance
This paper considers a general risk model with stochastic return and a Brownian perturbation, where the claim arrival process is a general counting process and the price process of the investment portfolio is expressed as a geometric Lévy process. When the claim sizes are pairwise strong quasi-asymptotically independent random variables with heavy-tailed distributions, the asymptotics of the finite-time ruin probability of this risk model have been obtained.