Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations

摘要

Abstract In this paper, we consider a dependent risk model with general investment returns and Brownian perturbation, where claim sizes are assumed to follow a one-sided linear process with independent and identically distributed step sizes. Furthermore, we assume step sizes and the corresponding inter-arrival times form a sequence of independent and identically distributed random pairs which are copies of a random pair with a common bivariate Sarmanov dependent distribution. When the distributions of step sizes are heavy-tailed, we obtain a series of asymptotic formulas for finite- and infinite-time ruin probabilities. Finally, to verify the accuracy of our asymptotic formulae, we apply Crude Monte Carlo method to do numerical studies.