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

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

Published:2023-03-02 Issue:5 Volume:11 Page:1225
ISSN:2227-7390
Container-title:Mathematics
language:en
Short-container-title:Mathematics

Author:

Cheng Ming¹,Wang Dingcheng¹

Affiliation:

1. School of Mathematical Sciences, University of Electronic Science and Technology of China, Chengdu 611731, China

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.

Funder

National Science Foundation of China

Publisher

MDPI AG

Subject

General Mathematics,Engineering (miscellaneous),Computer Science (miscellaneous)

Link

https://www.mdpi.com/2227-7390/11/5/1225/pdf

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