Uniform Asymptotic Estimate for the Ruin Probability in a Renewal Risk Model with Cox–Ingersoll–Ross Returns

Abstract

Consider an insurance risk model with arbitrary dependence structures between the claim sizes. Suppose that the risky investment in the insurer can be established by the Cox–Ingersoll–Ross model. When the claim-size distribution is heavy-tailed, a uniform asymptotic formula for ruin probability is obtained.