Abstract
This paper considers a dependent risk model with stochastic return and Brownian perturbation, where there exists a dependence structure between the claim sizes and the inter-arrival times and the price process of the investment portfolio is a geometric Levy process. When the claim sizes have heavy-tailed distributions, the asymptotic lower and upper bounds of the finite-time ruin probability have been given.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have