Uniform asymptotics for finite-time ruin probabilities of a bidimensional compound risk model with stochastic returns

Abstract

Consider a continuous-time bidimensional compound risk model with stochastic returns, where an insurance company operates two lines of business at the same time and is allowed to invest its wealth into financial assets. In this model, each accident may cause a random number of heavy-tailed claims and the claim sizes from the same line of business are upper tail asymptotically independent, while the accident arrival processes from different lines of business are arbitrarily dependent. Under some moment conditions on the accident arrival processes, some uniform asymptotic formulae for finite-time ruin probabilities are established.