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The Finite-Time Ruin Probabilities of a Renewal Risk Model with Arbitrarily Dependent Insurance and Financial Risks Caused by Systematic Factors

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  • Chenghao Xu

    (University of Electronic Science and Technology of China, School of Mathematical Sciences)

  • Jiangyan Peng

    (University of Electronic Science and Technology of China, School of Mathematical Sciences)

  • Lei Zou

    (University of Electronic Science and Technology of China, School of Mathematical Sciences)

Abstract

Consider a continuous-time renewal risk model with dependent insurance risk and investment risk. We derive the asymptotics of the finite-time ruin probabilities for heavy-tailed claim sizes when the claim sizes and the return jumps caused by the systematic factors are arbitrarily dependent, while the claim sizes are pairwise strong quasi-asymptotically independent. Our findings indicate that, under the framework of regular variation, the asymptotic form of the finite-time ruin probability is insensitive to certain dependence structure among the claim sizes. Finally, numerical studies are conducted to verify the performance of the asymptotic results.

Suggested Citation

  • Chenghao Xu & Jiangyan Peng & Lei Zou, 2025. "The Finite-Time Ruin Probabilities of a Renewal Risk Model with Arbitrarily Dependent Insurance and Financial Risks Caused by Systematic Factors," Methodology and Computing in Applied Probability, Springer, vol. 27(4), pages 1-20, December.
    • Handle: RePEc:spr:metcap:v:27:y:2025:i:4:d:10.1007_s11009-025-10232-z
    DOI: 10.1007/s11009-025-10232-z
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