Asymptotic Finite-Time Ruin Probabilities for a Multidimensional Risk Model with Subexponential Claims
摘要
This paper considers a multidimensional risk model with cádlág investment return processes, in which there exists some dependence structure among claims and claim-arrival time. Specifically, if claims follow the subexponential distribution or the regular variation distribution, we obtain some precise asymptotic estimates for the finite-time ruin probabilities. In addition, some numerical simulations are presented to test the performance of the theoretical results.