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Asymptotic ruin probabilities of a risk model with double investment strategies. (Chinese. English summary) Zbl 1313.91089

Summary: Insurance companies adopt different strategies under different levels of surplus. The expression of the surplus process is obtained by Itō formula and risk-neutral assumption. Assume that the claims process belongs to \(D\), and the claims are pair-wise quasi-asymptotically independent. The asymptotic estimations of ruin probability in finite-time and infinite-time are obtained and the corresponding numerical simulations are carried out.

MSC:

91B30 Risk theory, insurance (MSC2010)
62P05 Applications of statistics to actuarial sciences and financial mathematics
60H30 Applications of stochastic analysis (to PDEs, etc.)
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