JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE) ›› 2014, Vol. 49 ›› Issue (1): 92-98.doi: 10.6040/j.issn.1671-9352.0.2013.177

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Asymptotic ruin probabilities of a risk model with #br# double investment strategies

XU Tian-ming1, WU Qing-tai2*   

  1. College of Science, Nanjing Agricultural University, Nanjing 210095, Jiangsu, China
  • Received:2013-04-15 Online:2014-01-20 Published:2014-01-15

Abstract:

Insurance companies adopt different strategies under different levels of surplus.The expression of the surplus process was obtained by It formula and riskneutral assumption, and then assuming the claims process belongs to D, and are pair-wise quasi-asymptotically independent. Finally the asymptotic estimations of ruin probability in finite-time and infinite-time are obtained and the corresponding numerical simulation has carried on.

Key words: double investment strategies, ruin probabilities, continuous-time risk model

CLC Number: 

  • O211.6
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