Abstract
Consider a renewal risk model with stochastic return and stochastic perturbation, where the price process of the investment portfolio is a geometric Lévy process. When the claim sizes have a dependence structure, we derive the asymptotics of the finite-time ruin probability for all subexponential claim sizes. Particularly, when the claim sizes come from a subclass of the subexponential distribution class, the finite-time ruin probability has been estimated for claim sizes with a general dependence structure.
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