Asymptotic ruin probability for a risk model with investment returns and a random number of delayed claims
Abstract
.Consider a non standard risk model, in which every main claim induces a random number of delayed claims. Suppose that the surplus is invested in a portfolio consisting of a risk-free asset and a risky asset, and the main claim sizes and delayed claim sizes are heavy-tailed. In this setting, we investigate the finite-time ruin probability of the risk model and derive asymptotic formulas as the initial surplus approaches infinity.
Fields of Study & Subjects
Probability and Risk Models
Probability and Statistical Research
Insurance and Financial Risk Management
Publication details
- Journal / source
- Communication in Statistics- Theory and Methods
- Volume
- 55
- Issue
- 14
- Pages
- 4716–4728
- Publication date
- 20 January 2026
- Language
- EN