Next Article in Journal
An Innovative Decision Model Utilizing Intuitionistic Hesitant Fuzzy Aczel-Alsina Aggregation Operators and Its Application
Next Article in Special Issue
Optimal Defined Contribution Pension Management with Jump Diffusions and Common Shock Dependence
Previous Article in Journal
Progress in Blind Image Quality Assessment: A Brief Review
Previous Article in Special Issue
Perturbed Skew Diffusion Processes
 
 
Font Type:
Arial Georgia Verdana
Font Size:
Aa Aa Aa
Line Spacing:
Column Width:
Background:
Article

Finite-Time Ruin Probabilities of Bidimensional Risk Models with Correlated Brownian Motions

1
School of Statistics and Data Science, Qufu Normal University, Qufu 273165, China
2
Center for Applied Statistics, School of Statistics, Renmin University of China, Beijing 100872, China
*
Author to whom correspondence should be addressed.
Mathematics 2023, 11(12), 2767; https://doi.org/10.3390/math11122767
Submission received: 8 May 2023 / Revised: 15 June 2023 / Accepted: 16 June 2023 / Published: 19 June 2023

Abstract

:
The present work concerns the finite-time ruin probabilities for several bidimensional risk models with constant interest force and correlated Brownian motions. Under the condition that the two Brownian motions { B 1 ( t ) , t 0 } and { B 2 ( t ) , t 0 } are correlated, we establish new results for the finite-time ruin probabilities. Our research enriches the development of the ruin theory with heavy tails in unidimensional risk models and the dependence theory of stochastic processes.

1. Introduction

In traditional studies, many researchers have investigated ruin probability problems of insurers under unidimensional models. For example, ref. [1] studied ruin probability problems with constant interest force. Other studies about these problems can be found in [2,3,4,5]. An assumption behind these models is that the insured businesses homogeneous and can be described by a unidimensional model; however, this assumption is too strong. Thus, bidimensional or multidimensional insurance risk models have received growing interest in recent years, such as [6,7,8]. Various assumptions have been considered regarding the claim arrival process and the distribution of claim amounts; see, e.g., [9,10,11,12]. Ref. [13] considered finite-time ruin probabilities for nonstandard bidimensional renewal risk models with constant interest forces and diffusion generated by Brownian motions; they assumed that the two Brownian motions { B 1 ( t ) , t 0 } and { B 2 ( t ) , t 0 } are mutually independent. Similar results were obtained by [14], although they considered dependent subexponential claims. More papers can be found in [15,16], and the references therein. In this paper, we consider uniform asymptotics for the finite-time ruin probabilities for several bidimensional risks models with constant interest force and correlated Brownian motions, meaning that the businesses of the insurer have a relationship with each other. We introduce risk models and different types of ruin times with corresponding ruin probabilities as follows.
The bidimensional risk model U ( t ) = ( U 1 ( t ) , U 2 ( t ) ) τ is the surplus vector of an insurance company at time t 0 ; in this paper, we state this formally as
U i ( t ) = u i e r t + 0 t e r ( t s ) d C i ( s ) 0 t e r ( t s ) d S i ( s ) + σ i 0 t e r ( t s ) d B i ( s ) , t 0 ,
where u = ( u 1 , u 2 ) τ stands for the initial surplus vector and C ( t ) = ( C 1 ( t ) , C 2 ( t ) ) τ for the total premiums received up to time t; here, { C 1 ( t ) , t 0 } , { C 2 ( t ) , t 0 } are mutually independent. Moreover, r 0 stands for the interest rate and ( S 1 ( t ) , S 2 ( t ) ) = ( i = 1 N 1 ( t ) X 1 i , i = 1 N 2 ( t ) X 2 i ) for the total amount of claims vector up to time t. Here, X i = ( X 1 i , X 2 i ) τ , i = 1 , 2 , denote pairs of claims with arrival times that constitute a counting process vector { N ( t ) , t 0 } , where N ( t ) = ( N 1 ( t ) , N 2 ( t ) ) , while { N 1 ( t ) , t 0 } , { N 2 ( t ) , t 0 } are mutually independent. The process { N i ( t ) , t 0 } is a Poisson process with intensity λ i > 0 , and { X i , i = 1 , 2 , } is a sequence of independent copies of the random pair X = ( X 1 , X 2 ) τ with the joint distribution function F ( x 1 , x 2 ) and the marginal distribution functions F 1 ( x 1 ) and F 2 ( x 2 ) . For all vectors, the X i s and C consist of only non-negative components C ( 0 ) = ( 0 , 0 ) τ . Moreover, each C i ( t ) is a non-decreasing and right-continuous stochastic process. The vector B ( t ) = ( B 1 ( t ) , B 2 ( t ) ) τ denotes a standard bidimensional Brownian motion with a constant correlation coefficient ρ [ 1 , 1 ] , while σ 1 0 and σ 2 0 are constants. For simplicity, we assume that { X i , i = 1 , 2 , } , { N ( t ) , t 0 } and { C ( t ) , t 0 } are independent and that both of them are independent of { B ( t ) , t 0 } . To avoid the certainty of ruin in each class, we assume that the following safety loading conditions hold when r = 0 :
E C i ( t ) λ i E X i 1 > 0 , i = 1 , 2 .
In this paper, we consider the following four types of ruin probabilities. For a finite horizon T > 0 , we define
ψ max ( u , T ) = P ( T max T | U ( 0 ) = u ) ,
where
T max = inf { t > 0 | max { U 1 ( t ) , U 2 ( t ) } < 0 } ;
ψ min ( u , T ) = P ( T min T | U ( 0 ) = u ) ,
where
T min = inf { t > 0 | min { U 1 ( t ) , U 2 ( t ) } < 0 } ;
and
ψ sum ( u , T ) = P ( T sum T | U ( 0 ) = u ) ,
where
T sum = inf { t > 0 | U 1 ( t ) + U 2 ( t ) < 0 } ;
ψ and ( u , T ) = P ( T and T | U ( 0 ) = u ) ,
where T and = max { T 1 , T 2 } and
T i = inf { t > 0 | U i ( t ) < 0 for some 0 t T ) , i = 1 , 2 ,
with inf = by convention.
We remark that the probability in (2) denotes the probability of ruin occurring when both U 1 ( t ) and U 2 ( t ) are below zero at the same time within finite time T > 0 , the probability in (3) denotes the probability of ruin occurring when at least one of { U i ( t ) , i = 1 , 2 } is below zero within finite time T > 0 , the probability in (4) denotes the probability of ruin occurring when the total of U 1 ( t ) and U 2 ( t ) is negativ within finite time T > 0 , and the probability in (5) denotes the probability of ruin occurring when both U 1 ( t ) and U 2 ( t ) are below zero, not necessarily simultaneously, within a finite time T > 0 . T and represents a more critical time than T max , and the ruin probability defined by T sum is reduced to that in the unidimensional model. The following relation between the four ruin probabilities defined above holds:
ψ max ( u , T ) ψ and ( u , T ) ψ min ( u , T ) , ψ sum ( u , T ) ψ min ( u , T ) ,
and
ψ min ( u , T ) + ψ and ( u , T ) = P ( T 1 T | U 1 ( 0 ) = u 1 ) + P ( T 2 T | U 2 ( 0 ) = u 2 ) .
The rest of this paper is organized as follows. In Section 2 we review the related results after briefly introducing preliminaries about heavy-tailed distributions, in Section 3 we provide several important definitions and lemmas, and the main results and the proof procedure are presented in Section 4.

2. Review of Related Results

Unless otherwise stated herein, all limit relations are for ( u 1 , u 2 ) ( , ) . We denote a b and a b if lim sup a / b 1 and lim sup a / b 1 , respectively, and a b if both, where, a ( · , · ) and b ( · , · ) are two positive functions. Let F 1 F n be the convolution of the distributions F 1 , , F n and let F n denote the n-fold convolution of a distribution F.
In this section, we review definitions and properties that are relevant to the results of this paper, considering only the case of the distribution of heavy-tail claims. An r.v. X or its d.f. F ( x ) = 1 F ¯ ( x ) satisfying F ¯ ( x ) > 0 for all x ( , ) is called heavy-tailed to the right, or simply heavy-tailed, if E [ e γ X ] = for all γ > 0 . In the following, we recall several important classes of heavy-tailed distributions.
F is a long tailed distribution, written as F L , if lim x F ¯ ( x t ) F ¯ ( x ) = 1 holds for some t > 0 . Note that the convergence is uniform over t in compact intervals. If lim x F n ¯ ( x ) F ¯ ( x ) = n holds ( n = 2 , 3 , ) , then F is a subexponential distribution on ( 0 , ) , written as F S . For some 0 < t < 1 , if lim sup x F ¯ ( t x ) F ¯ ( x ) < holds, F is said to have a dominatedly varying tailed distribution, written as F D . We call F a consistently varying tailed distribution, written as F C , if
lim t 1 lim inf x F ¯ ( t x ) F ¯ ( x ) = 1 , or equivalently if lim t 1 lim sup x F ¯ ( t x ) F ¯ ( x ) = 1
holds. A distribution F is extended regularly-varying tailed, written as F ERV ( α , β ) for some 0 α β < , if s β lim inf x F ¯ ( s x ) F ¯ ( x ) lim sup x F ¯ ( s x ) F ¯ ( x ) s α holds for s 1 .
It is obvious that the following formula holds:
ERV ( α , β ) C D L S L .
There are many other references to heavy-tailed distributions; readers may refer to [17,18,19,20,21,22] among others.
The asymptotic behavior of the finite-time ruin probability of bidimensional or multidimensional risk models has previously been investigated by [23]. They proved that under the conditions F 1 , F 2 S , N 1 ( t ) = N 2 ( t ) , and σ 1 = σ 2 = 0 , it is the case that r > 0 and the claim vector X consist of independent components
ψ max ( u ; T ) λ ( λ + 1 T ) r 2 u 1 u 1 e r T F 1 ¯ ( y ) y d y u 2 u 2 e r T F 2 ¯ ( y ) y d y , as ( u 1 , u 2 ) ( , ) .
Under the conditions F 1 , F 2 S , r = 0 , and N 1 ( t ) = N 2 ( t ) , it is the case that C i ( · ) are deterministic linear functions, and both the claim vector X and the bidimensional Brownian motion B consist of independent components. Li et al. [12] found that for each fixed time T > 0 ,
ψ max ( u ; T ) λ T ( 1 + λ T ) F 1 ¯ ( u 1 ) F 2 ¯ ( u 2 ) , as ( u 1 , u 2 ) ( , ) .
Chen et al. [11] investigated the uniform asymptotics of ψ and ( u , T ) and ψ min ( u , T ) for an ordinary renewal risk model with the claim amounts belonging to the consistently varying tailed distributions class for large T. Zhang and Wang [24] considered model (1) with r = 0 and assumed that all sources of randomness, { X 1 k , k = 1 , 2 , } , { X 2 k , k = 1 , 2 , } , { N 1 ( t ) = N 2 ( t ) , t 0 } , { B 1 ( t ) , t 0 } and { B 2 ( t ) , t 0 } are mutually independent. They obtained that if F 1 , F 2 EVR ( α , β ) for some 0 < α β < , then, for each fixed time T 0 ,
ψ max ( u ; T ) λ T ( 1 + λ T ) F 1 ¯ ( u 1 ) F 2 ¯ ( u 2 ) , as ( u 1 , u 2 ) ( , ) .
The analogous result for multidimensional risk models can be found in Asmussen and Albrecher [17].

3. Some Lemmas

Before providing the main results, we first provide several lemmas.
Lemma 1.
If F S , then for each ε > 0 there exists some constant C ε > 0 such that the inequality
F n ¯ ( x ) C ε ( 1 + ε ) n F ¯ ( x )
holds for all n = 1 , 2 , and x 0 .
Proof. 
See Lemma 1.3.5 of Embrechts et al. [25]. □
Lemma 2.
Let G 1 and G 2 be two distribution functions. If G 1 S and G 2 ¯ ( x ) = o ( G 1 ¯ ( x ) ) , then we have G 1 G 2 ¯ ( x ) G 1 ¯ ( x ) as x .
Proof. 
See Proposition 1 of Embrechts et al. [25]. □
Lemma 3.
Consider a unidimensional risk model
U i ( t ) = u i + C i ( t ) S i ( t ) + σ i B i ( t ) , t 0 , i = 1 , 2 .
If F i S , then the ruin probability with finite-horizon T satisfies
ψ i ( u i ; T ) = P ( U i ( t ) < 0 for some t T | U i ( 0 ) = u i ) λ T F i ¯ ( u i ) , u i .
Proof. 
Clearly, on the one hand,
ψ i ( u i ; T ) P ( S i ( T ) u i + C i ( T ) + σ i sup 0 t T B i ( t ) ) = 0 P ( S i ( T ) u i + C i ( T ) + σ i z ) d P ( sup 0 t T B i ( t ) ) z ) = P ( S i ( T ) u i ) 0 0 P ( S i ( T ) u i + l i + σ i z ) P ( S i ( T ) u i ) d P ( sup 0 t T B i ( t ) ) z ) × d P ( C i ( T ) l i ) P ( S i ( T ) u i ) ,
where we have used the fact that P ( S i ( T ) u i + l i + σ i z ) P ( S i ( T ) u i ) and the dominated convergence theorem.
On the other hand,
ψ i ( u i ; T ) P ( S i ( T ) + σ i sup 0 t T ( B i ( t ) ) u i ) P ( S i ( T ) u i ) ,
where we have used Lemma 2 and the fact that
P ( σ i sup 0 t T ( B i ( t ) ) u i ) = o ( P ( S i ( T ) u i ) ) .
Per Lemma 1 and dominated convergence theorem, we have
P ( S i ( T ) u i ) F i ¯ ( u i ) n = 1 n P ( N ( T ) = n ) = λ T F i ¯ ( u i ) , a s u i .
The result follows from (8) and (9). □
Lemma 4.
Consider a unidimensional risk model
U i ( t ) = u i e r t + 0 t e r ( t s ) C i ( d s ) 0 t e r ( t s ) d S i ( s ) + σ i 0 t e r ( t s ) d B i ( s ) , t 0 , i = 1 , 2 .
If F i S , then the ruin probability with finite-horizon T satisfies
ψ i ( u i ; T ) = P ( U i ( t ) < 0 for some t T | U i ( 0 ) = u i ) λ r u i u i e r T F i ¯ ( y ) y d y , u i .
Proof. 
By simply modifying the proof of Lemma 3, we have
ψ i ( u i ; T ) P j = 1 N ( T ) X i j e r τ j u i λ 0 T P ( X i 1 e r z > u i ) d z , u i ,
where in the last step we use (28) from [26]. Here, τ j are the arrival times of the Poisson process N ( t ) . In fact,
z = 1 r log y u i ,
and we have that
d z = d 1 r log y u i = 1 r · u i y · 1 u i d y = 1 r y d y .
Then,
λ 0 T P ( X i 1 > u i e r z ) d z = λ r u i u i e r T F ¯ i ( y ) y d y .
Upon a trivial substitution, the required result is implied. □
Definition 1.
(i) 
Two processes { X 1 ( t ) ; t 0 } and { X 2 ( t ) ; t 0 } are said to be positively associated if
Cov ( f ( X 1 ( t 1 ) , X 2 ( t 2 ) ) , g ( X 1 ( t 1 ) , X 2 ( t 2 ) ) | X 1 ( 0 ) = x 1 , X 2 ( 0 ) = x 2 ) 0
for all non-decreasing real valued functions f and g such that covariance exists, all t 1 , t 2 0 , and all x 1 , x 2 R .
(ii) 
Two processes { X 1 ( t ) ; t 0 } and { X 2 ( t ) ; t 0 } are said to be negatively associated if
Cov ( f ( X 1 ( t 1 ) ) , g ( X 2 ( t 2 ) ) | X 1 ( 0 ) = x 1 , X 2 ( 0 ) = x 2 ) 0 ,
for all non-decreasing real valued functions f and g such that covariance exists, all t 1 , t 2 0 , and all x 1 , x 2 R .
Definition 2.
Two processes { X 1 ( t ) ; t 0 } and { X 2 ( t ) ; t 0 } are said to be positively (negatively) quadrant-dependent if
P ( X 1 ( t 1 ) > y 1 , X 2 ( t 2 ) > y 2 | X 1 ( 0 ) = x 1 , X 2 ( 0 ) = x 2 ) ( ) P ( X 1 ( t 1 ) > y 1 | X 1 ( 0 ) = x 1 ) P ( X 2 ( t 2 ) > y 2 | X 2 ( 0 ) = x 2 )
for all t 1 , t 2 0 and for all y 1 , y 2 , x 1 , x 2 R .
It is well known (cf. Ebrahimi [27]) that ( X 1 ( t ) , X 2 ( t ) ) being positively (negatively) associated implies that X 1 ( t ) and X 2 ( t ) are positively (negatively) quadrant-dependent.
Let B ( t ) = ( B 1 ( t ) , B 2 ( t ) ) τ be a standard bidimensional Brownian motion with constant correlation coefficient ρ ( 1 , 1 ) . For notional convenience, for t 0 we write B ̲ i ( t ) = inf 0 s t B i ( s ) , B ¯ i ( t ) = sup 0 s t B i ( s ) , i = 1 , 2 . It is well known that P ( B ̲ i ( t ) < x ) = P ( B ¯ i ( t ) > x ) = 2 P ( B i ( t ) > x ) for x > 0 . The following lemma is essential to proving our main results. Moreover, it is of independent interest.
Lemma 5.
For any x 1 > 0 , x 2 > 0 , if ρ [ 0 , 1 ) , then
P ( B ¯ 1 ( t ) > x 1 , B ¯ 2 ( t ) > x 2 ) P ( B ¯ 1 ( t ) > x 1 ) P ( B ¯ 2 ( t ) > x 2 ) ,
and
P ( B ̲ 1 ( t ) < x 1 , B ̲ 2 ( t ) < x 2 ) P ( B ̲ 1 ( t ) < x 1 ) P ( B ̲ 2 ( t ) < x 2 ) ;
If ρ ( 1 , 0 ] , then
P ( B ¯ 1 ( t ) > x 1 , B ¯ 2 ( t ) > x 2 ) P ( B ¯ 1 ( t ) > x 1 ) P ( B ¯ 2 ( t ) > x 2 ) ,
and
P ( B ̲ 1 ( t ) < x 1 , B ̲ 2 ( t ) < x 2 ) P ( B ̲ 1 ( t ) < x 1 ) P ( B ̲ 2 ( t ) < x 2 ) .
Proof. 
For any t 1 , t 2 0 , we have Cov ( B 1 ( t 1 ) , B 2 ( t 2 ) ) = ρ min { t 1 , t 2 } . It follows from the Theorem in Pitt [28] that ρ 0 is necessary and sufficient for ( B 1 ( t ) , B 2 ( t ) ) τ to be positively associated, as ( B 1 ( t 1 ) , B 2 ( t 2 ) ) τ is bivariate normal, which implies that ( B 1 ( t ) , B 2 ( t ) ) τ is positively quadrant-dependent. Thus, (11) holds. To prove (12), we use (11) and the facts that sup 0 s t B i ( s ) = inf 0 s t ( B i ( s ) ) and ( B 1 ( t ) , B 2 ( t ) ) τ is a standard bidimensional Brownian motion with correlation coefficient ρ . Inequalities (13) and (14) can be proved similarly. This completes the proof.
For r 0 , consider a bidimensional Gaussian process ( 0 t e r s d B 1 ( s ) , 0 t e r s d B 2 ( s ) ) τ , where B ( t ) = ( B 1 ( t ) , B 2 ( t ) ) τ is a standard bidimensional Brownian motion with constant correlation coefficient ρ ( 1 , 1 ) . For t 0 , we can write
Δ ̲ i ( t ) = inf 0 s t 0 s e r l d B 1 ( l ) , Δ ¯ i ( t ) = sup 0 s t 0 s e r l d B 2 ( l ) , i = 1 , 2 .
The following lemma is an extension of Lemma 5. □
Lemma 6.
For any x 1 > 0 , x 2 > 0 , if ρ [ 0 , 1 ) , then
P Δ ¯ 1 ( t ) > x 1 , Δ ¯ 2 ( t ) > x 2 P Δ ¯ 1 ( t ) > x 1 P Δ ¯ 2 ( t ) > x 2 ,
and
P ( Δ ̲ 1 ( t ) < x 1 , Δ ̲ 2 ( t ) < x 2 ) P ( Δ ̲ 1 ( t ) < x 1 ) P ( Δ ̲ 2 ( t ) < x 2 ) ;
If ρ ( 1 , 0 ] , then
P Δ ¯ 1 ( t ) > x 1 , Δ ¯ 2 ( t ) > x 2 P Δ ¯ 1 ( t ) > x 1 P Δ ¯ 2 ( t ) > x 2 ,
and
P ( Δ ̲ 1 ( t ) < x 1 , Δ ̲ 2 ( t ) < x 2 ) P ( Δ ̲ 1 ( t ) < x 1 ) P ( Δ ̲ 2 ( t ) < x 2 ) .
Remark 1.
Several distributions of interest are available in closed form (see, e.g., He, Keirstead, and Rebholz [29]). These include the joint distributions of ( X ̲ 1 ( t ) , X ̲ 2 ( t ) ) , ( X ¯ 1 ( t ) , X ¯ 2 ( t ) ) , ( X ̲ 1 ( t ) , X ¯ 1 ( t ) ) , and so on. However, those closed-form results cannot apply our proofs to the main results. The results of Lemmas 5 and 6 cannot be obtained from the results of Shao and Wang [30].
Lemma 7.
Let { N ( t ) , t 0 } be a Poisson process with arrival times τ k , k = 1 , 2 , . Considering N ( T ) = n for arbitrarily fixed T > 0 and n = 1 , 2 , , the random vector ( τ 1 , , τ n ) is equal in distribution to the random vector ( T U ( 1 , n ) , , T U ( n , n ) ) , where U ( 1 , n ) , , U ( n , n ) denote the order statistics of n i.i.d. (0, 1) uniformly distributed random variables U 1 , , U n .
Proof. 
See Theorem 2.3.1 of Ross [26]. □
Lemma 8.
Let X and Y be two independent and non-negative random variables. If X is subexponentially distributed while Y is bounded and non-degenerate at 0, then the product X Y is subexponentially distributed.
Proof. 
See Corollary 2.3 of Cline and Samorodnitsky [19]. □
The following result is due to Tang [1].
Lemma 9.
Let X and Y be two independent random variables with distributions F X and F Y . Moreover, let Y be non-negative and non-degenerate at 0. Then,
F X Y L F X L F ¯ X Y ( x ) F ¯ X ( x ) .

4. Main Results and Proofs

In this paper, we establish new results for the finite-time ruin probabilities. Unlike the above-motioned articles, we assume that the two Brownian motions { B 1 ( t ) , t 0 } and { B 2 ( t ) , t 0 } are correlated with a constant correlation coefficient ρ ( 1 , 1 ) . The following are the main results of this paper.
Theorem 1.
Consider the insurance risk model introduced in Section 1. Assume that N 1 ( t ) = N 2 ( t ) = N ( t ) , ρ ( 1 , 0 ] , r = 0 and that { X 1 k , k = 1 , 2 , } , { X 2 k , k = 1 , 2 , } , { C 1 ( t ) , t 0 } , { C 2 ( t ) , t 0 } , { N ( t ) , t 0 } , { ( B 1 ( t ) , B 2 ( t ) ) , t 0 } are mutually independent.
(a) 
If F 1 , F 2 S , then, for each fixed time T 0 ,
ψ max ( u ; T ) λ T ( 1 + λ T ) F 1 ¯ ( u 1 ) F 2 ¯ ( u 2 ) , as ( u 1 , u 2 ) ( , ) ,
ψ min ( u ; T ) λ T F 1 ¯ ( u 1 ) + F 2 ¯ ( u 2 ) , as ( u 1 , u 2 ) ( , ) .
(b) 
If F 1 F 2 S , then, for each fixed time T 0 ,
ψ sum ( u ; T ) λ T F 1 ¯ ( u 1 + u 2 ) + F 2 ¯ ( u 1 + u 2 ) , as u 1 + u 2 .
Proof. 
First, we establish the asymptotic upper bound for ψ max ( u ; T ) . Clearly,
ψ max ( u ; T ) P i = 1 N ( T ) X i σ 1 B ̲ 1 ( T ) σ 2 B ̲ 2 ( T ) > u = n = 0 P ( N ( T ) = n ) P i = 1 n X i σ 1 B ̲ 1 ( T ) σ 2 B ̲ 2 ( T ) > u = n = 0 P ( N ( T ) = n ) 0 0 P ( i = 1 n X i d z ) × P z σ 1 B ̲ 1 ( T ) σ 2 B ̲ 2 ( T ) > u .
Because ρ ( 1 , 0 ] , by using (14) we have
P z σ 1 B ̲ 1 ( T ) σ 2 B ̲ 2 ( T ) > u P ( z 1 σ 1 B ̲ 1 ( T ) > u 1 ) P ( z 2 σ 2 B ̲ 2 ( T ) > u 2 ) .
Using the independence of { X 1 k , k = 1 , 2 , } and { X 2 k , k = 1 , 2 , } , we have
P i = 1 n X i z = P i = 1 n X 1 i d z 1 P i = 1 n X 2 i d z 2 .
Substituting (19) and (20) into (18) and using the dominated convergence theorem, we obtain
ψ max ( u ; T ) n = 0 P ( N ( T ) = n ) P i = 1 n X 1 i σ 1 B ̲ 1 ( T ) > u 1 P i = 1 n X 2 i σ 2 B ̲ 2 ( T ) > u 1 n = 0 P ( N ( T ) = n ) n 2 F 1 ¯ ( u 1 ) F 2 ¯ ( u 2 ) = λ T ( 1 + λ T ) F 1 ¯ ( u 1 ) F 2 ¯ ( u 2 ) , as ( u 1 , u 2 ) ( , ) ,
where in the second step we have used Lemma 2 and the fact that
P σ j sup 0 t T ( B j ( t ) ) u j = o P ( i = 1 n X j i u j ) , j = 1 , 2 .
Next, we establish the asymptotic lower bound for ψ max ( u ; T ) . Clearly,
ψ max ( u ; T ) P i = 1 N ( T ) X i C ( T ) σ 1 B ¯ 1 ( T ) σ 2 B ¯ 2 ( T ) > u = n = 0 P ( N ( T ) = n ) P i = 1 n X i σ 1 B ¯ 1 ( T ) σ 2 B ¯ 2 ( T ) C ( T ) > u n = 0 P ( N ( T ) = n ) I 1 ,
where I 1 can be written as
I 1 = 0 0 P ( B 1 ¯ ( T ) d y 1 , B 2 ¯ ( T ) d y 2 ) J 1 J 2 .
Here,
J 1 = P i = 1 n X 1 i C 1 ( T ) σ 1 y 1 > u 1 ,
and
J 2 = P i = 1 n X 2 i C 2 ( T ) σ 2 y 2 > u 2 .
For large constants a > 0 and b > 0 , we can further write I 1 as
I 1 = 0 a 0 b + 0 a b + a 0 b + a b P ( B 1 ¯ ( T ) d y 1 , B 2 ¯ ( T ) d y 2 ) J 1 J 2 k 1 + k 2 + k 3 + k 4 .
First, we consider k 1 . Then, per Lemma 9, it holds uniformly for all y 1 [ 0 , a ] that
J 1 n F ¯ 1 ( u 1 ) , as u 1
and it holds uniformly for all y 2 [ 0 , b ] that
J 2 n F ¯ 2 ( u 2 ) , as u 2 .
Using Lemma 1 and the dominated convergence theorem, we obtain
k 1 n 2 F ¯ 1 ( u 1 ) F ¯ 2 ( u 2 ) 0 a 0 b P ( B 1 ¯ ( T ) d y 1 , B 2 ¯ ( T ) d y 2 ) , as ( u 1 , u 2 ) ( , ) .
Thus,
lim ( a , b ) ( , ) lim ( u 1 , u 2 ) ( , ) k 1 n 2 F ¯ 1 ( u 1 ) F ¯ 2 ( u 2 ) = 1 .
Now, we consider k 2 . Using (25), Lemma 1, and the dominated convergence theorem,
k 2 n F ¯ 1 ( u 1 ) 0 a b P ( B 1 ¯ ( T ) d y 1 , B 2 ¯ ( T ) d y 2 ) J 2 n F ¯ 1 ( u 1 ) P i = 1 n X 2 i C 2 ( T ) σ 2 b > u 2 0 a b P ( B 1 ¯ ( T ) d y 1 , B 2 ¯ ( T ) d y 2 ) n 2 F ¯ 1 ( u 1 ) F ¯ 2 ( u 2 ) 0 a b P ( B 1 ¯ ( T ) d y 1 , B 2 ¯ ( T ) d y 2 ) , as ( u 1 , u 2 ) ( , ) .
Thus,
lim ( a , b ) ( , ) lim ( u 1 , u 2 ) ( , ) k 2 n 2 F ¯ 1 ( u 1 ) F ¯ 2 ( u 2 ) = 0 .
Likewise,
lim ( a , b ) ( , ) lim ( u 1 , u 2 ) ( , ) k 3 n 2 F ¯ 1 ( u 1 ) F ¯ 2 ( u 2 ) = 0 .
Finally, we deal with k 4 :
k 4 P i = 1 n X 1 i C 1 ( T ) σ 1 a > u 1 P i = 1 n X 2 i C 2 ( T ) σ 2 b > u 2 × a b P ( B 1 ¯ ( T ) d y 1 , B 2 ¯ ( T ) d y 2 ) n 2 F ¯ 1 ( u 1 ) F ¯ 2 ( u 2 ) a b P ( B 1 ¯ ( T ) d y 1 , B 2 ¯ ( T ) d y 2 ) , as ( u 1 , u 2 ) ( , ) ,
from which we obtain
lim ( a , b ) ( , ) lim ( u 1 , u 2 ) ( , ) k 4 n 2 F ¯ 1 ( u 1 ) F ¯ 2 ( u 2 ) = 0 .
From (23) and (27)–(30), we obtain
lim ( u 1 , u 2 ) ( , ) I 1 n 2 F ¯ 1 ( u 1 ) F ¯ 2 ( u 2 ) = 1 .
Now, it follows from (22), (31), and the dominated convergence theorem that
lim ( u 1 , u 2 ) ( , ) ψ max ( u ; T ) λ T ( 1 + λ T ) F 1 ¯ ( u 1 ) F 2 ¯ ( u 2 ) 1 ,
from which, along with (21), we obtain (15).
Note that
ψ and ( u ; T ) P i = 1 N ( T ) X 1 i σ 1 B ̲ 1 ( T ) > u 1 , i = 1 N ( T ) X 2 i σ 2 B ̲ 2 ( T ) > u 2 ,
from which, along with (18) and (21), we have
lim ( u 1 , u 2 ) ( , ) ψ and ( u ; T ) F 1 ¯ ( u 1 ) + F 2 ¯ ( u 2 ) lim ( u 1 , u 2 ) ( , ) λ T ( 1 + λ T ) F 1 ¯ ( u 1 ) F 2 ¯ ( u 2 ) F 1 ¯ ( u 1 ) + F 2 ¯ ( u 2 ) = 0 .
Thus, it is the case that ψ a n d ( u ; T ) 0 , as ( u 1 , u 2 ) ( , ) . From (6), we have
ψ m i n ( u ; T ) P ( T 1 T U 1 ( 0 ) = u 1 ) + P ( T 2 T U 2 ( 0 ) = u 1 ) = ψ 1 ( u 1 ; T ) + ψ 2 ( u 2 ; T ) .
From Lemma 3, we can obtain (16).
Next, we prove relation (17). Using Theorem 7.2 in Ikeda and Watanabe [31] (and see Yin and Wen [32]), for all t 0 we have
σ 1 2 + σ 2 2 + 2 ρ σ 1 σ 2 W ( t ) = d σ 1 B 1 ( t ) + σ 2 B 2 ( t ) ,
where ‘ = d ’ denotes equality in distribution, W is a standard Brownian motion independent of { X 1 k , k = 1 , 2 , } , { X 2 k , k = 1 , 2 , } , { C 1 ( t ) , t 0 } , { C 2 ( t ) , t 0 } , and { N ( t ) , t 0 } . Thus, for all t 0 , U 1 ( t ) + U 2 ( t ) can be written as
U 1 ( t ) + U 2 ( t ) = d u 1 + u 2 + C 1 ( t ) + C 2 ( t ) i = 1 N ( t ) ( X 1 i + X 2 i ) + σ 1 2 + σ 2 2 + 2 ρ σ 1 σ 2 W ( t ) .
Applying Lemma 3 to this model, we find that if F 1 F 2 S , then
ψ sum ( u ; T ) λ T F 1 F 2 ¯ ( u 1 + u 2 ) λ T ( F 1 ¯ ( u 1 + u 2 ) + F 2 ¯ ( u 1 + u 2 ) ) , u 1 + u 2 ,
where, in the last step, we have relied on the statement in [33] (and see Geluk and Tang [34]) that
F 1 F 2 S if and only if P ( X 1 + X 2 > x ) F 1 ¯ ( x ) + F 2 ¯ ( x ) .
This ends the proof of Theorem 1. □
Remark 2.
Letting { C i ( t ) = c i t , i = 1 , 2 and ρ = 0 in Theorem 1, we obtain Theorem 1 in [12].
Theorem 2.
Consider the insurance risk model introduced in Section 1. Assume that N 1 ( t ) = N 2 ( t ) = N ( t ) , ρ ( 1 , 0 ] , r > 0 and that { X 1 k , k = 1 , 2 , } , { X 2 k , k = 1 , 2 , } , { C 1 ( t ) , t 0 } , { C 2 ( t ) , t 0 } , { N ( t ) , t 0 } , { ( B 1 ( t ) , B 2 ( t ) ) , t 0 } are mutually independent.
(a) 
If F 1 , F 2 S , then for each fixed time T 0 ,
ψ max ( u ; T ) λ ( λ + 1 T ) r 2 u 1 u 1 e r T F 1 ¯ ( y ) y d y u 2 u 2 e r T F 2 ¯ ( y ) y d y , as ( u 1 , u 2 ) ( , ) ,
ψ min ( u ; T ) λ r u 1 u 1 e r T F 1 ¯ ( y ) y d y + u 2 u 2 e r T F 2 ¯ ( y ) y d y , as ( u 1 , u 2 ) ( , ) .
(b) 
If F 1 F 2 S , then for each fixed time T 0 ,
ψ sum ( u ; T ) λ T 0 1 F 1 F 2 ¯ ( e r T z ( u 1 + u 2 ) ) d z , as u 1 + u 2 .
In particular, if there are two positive constants l 1 and l 2 such that F ¯ i ( x ) l i F ¯ ( x ) , i = 1 , 2 , then
ψ sum ( u ; T ) λ T 0 1 F 1 ¯ ( e r T z ( u 1 + u 2 ) ) + 0 1 F 2 ¯ ( e r T z ( u 1 + u 2 ) ) , as u 1 + u 2 .
Proof. 
We can write ψ max ( u ; T ) as
ψ max ( u ; T ) = P ( e r t U i ( t ) < 0 , i = 1 , 2 for some 0 < t T | U ( 0 ) = u ) .
For t [ 0 , T ] and each i = 1 or 2, we have
u i 0 t e r s d S i ( s ) + σ i 0 t e r s d B i ( s ) e r t U i ( t ) u i + 0 T e r s d C i ( s ) 0 t e r s d S i ( s ) + σ i 0 t e r s d B i ( s ) .
It follows that ψ max ( u ; T ) satisfies
ψ max ( u ; T ) P i = 1 N ( T ) X i e r τ i σ 1 Δ ̲ 1 ( T ) σ 2 Δ ̲ 2 ( T ) > u ) n = 0 P ( N ( T ) = n ) P i = 1 n X i e r τ i σ 1 Δ ̲ 1 ( T ) σ 2 Δ ̲ 2 ( T ) > u | N ( t ) = n n = 0 P ( N ( T ) = n ) 0 0 P i = 1 n X i e r T U i d z × P z σ 1 Δ ̲ 1 ( T ) σ 2 Δ ̲ 2 ( T ) > u .
where we have used Lemma 7 in the last steps. Because ρ ( 1 , 0 ] , using Lemma 6, we have
P z σ 1 Δ ̲ 1 ( T ) σ 2 Δ ̲ 2 ( T ) > u P ( z 1 σ 1 Δ ̲ 1 ( T ) > u 1 ) P ( z 2 σ 2 Δ ̲ 2 ( T ) > u 2 ) .
Using the independence of { X 1 k , k = 1 , 2 , } and { X 2 k , k = 1 , 2 , } , we have
P i = 1 n X i e r T U i d z = 0 1 0 1 P i = 1 n X 1 i e r T v i d z 1 P i = 1 n X 2 i e r T v i d z 2 × j = 1 n P ( U j d v j ) .
Substituting (37) and (38) into (36) and using
P i = 1 n X 1 i e r T v i σ 1 Δ ̲ 1 ( T ) > u 1 P i = 1 n X 1 i e r T v i > u 1 , u 1 ,
and
P i = 1 n X 2 i e r T v i σ 2 Δ ̲ 2 ( T ) > u 2 P i = 1 n X 2 i e r T v i > u 2 , u 2 ,
uniformly for ( v 1 , , v n ) [ 0 , 1 ] n , we obtain
ψ max ( u ; T ) n = 0 P ( N ( T ) = n ) P i = 1 n X 1 i e r T U i > u 1 , i = 1 n X 2 i e r T U i > u 2 n = 0 P ( N ( T ) = n ) k 5 .
We apply Proposition 5.1 of Tang and Tsitsiashvili [22], which says that for i.i.d. subexponential random variables { X k } and for arbitrarily a and b where 0 < a b < , the relation
P i = 1 n c i X i > x i = 1 n P ( c i X i > x )
holds uniformly for ( c 1 , , c n ) [ a , b ] × × [ a , b ] . Hence, by conditioning on ( U 1 , , U n ) , we find that where
k 5 n 2 P X 11 e r T U 1 > u 1 P X 21 e r T U 1 > u 2 ,
by substituting (40) into (39) and using the dominated convergence theorem, we obtain
lim sup ( u i , u 2 ) ( , ) ψ max ( u ; T ) λ ( λ + 1 T ) r 2 u 1 u 1 e r T F 1 ¯ ( y ) y d y u 2 u 2 e r T F 2 ¯ ( y ) y d y 1 .
Next, we establish the asymptotic lower bound for ψ max ( u ; T ) . Clearly,
ψ max ( u ; T ) P i = 1 N ( T ) X i e r τ i 0 T e r s d C ( s ) σ 1 Δ ¯ 1 ( T ) σ 2 Δ ¯ 2 ( T ) > u = n = 0 P ( N ( T ) = n ) P i = 1 n X i e r T U i σ 1 Δ ¯ 1 ( T ) σ 2 Δ ¯ 2 ( T ) 0 T e r s d C ( s ) > u n = 0 P ( N ( T ) = n ) I 2 ,
where, for some positive constants c and d,
I 2 = 0 c 0 d + 0 c d + c 0 d + c d P ( Δ 1 ¯ ( T ) d y 1 , Δ 2 ¯ ( T ) d y 2 ) J 3 J 4 .
Here,
J 3 = P i = 1 n X 1 i e r T U i 0 T e r s d C 1 ( s ) σ 1 y 1 > u 1 ,
and
J 4 = P i = 1 n X 2 i e r T U i 0 T e r s d C 2 ( s ) σ 2 y 2 > u 2 .
Per Lemma 8, we know that i = 1 n X j i e r T U i S , j = 1 , 2 , as all X j i S . Then, invoking Lemma 9, we obtain
J 3 n P ( X 11 e r T U 1 > u 1 ) , as u 1 , J 4 n P ( X 21 e r T U 1 > u 2 ) as u 2
uniformly for all y 1 [ 0 , c ] and y 2 [ 0 , d ] , respectively. Now, using the same argument by which we reached (31), we have
lim ( u 1 , u 2 ) ( , ) I 2 n 2 P ( X 11 e r T U 1 > u 1 ) P ( X 21 e r T U 1 > u 2 ) = 1 .
Now, it follows from (42), (43), Lemma 1, and the dominated convergence theorem that
lim ( u i , u 2 ) ( , ) ψ max ( u ; T ) λ T ( 1 + λ T ) P ( X 11 e r T U 1 > u 1 ) P ( X 21 e r T U 1 > u 2 ) 1 ,
or, equivalently,
lim ( u i , u 2 ) ( , ) ψ max ( u ; T ) λ ( λ + 1 T ) r 2 u 1 u 1 e r T F 1 ¯ ( y ) y d y u 2 u 2 e r T F 2 ¯ ( y ) y d y 1 ,
from which, along with (41), we obtain (32).
The relation (33) follows from (6) and Lemma 4 because, as above,
lim ( u 1 , u 2 ) ( , ) ψ and ( u ; T ) u 1 u 1 e r T F 1 ¯ ( y ) y d y + u 2 u 2 e r T F 2 ¯ ( y ) y d y lim ( u 1 , u 2 ) ( , ) λ ( λ + 1 T ) r 2 u 1 u 1 e r T F 1 ¯ ( y ) y d y u 2 u 2 e r T F 2 ¯ ( y ) y d y u 1 u 1 e r T F 1 ¯ ( y ) y d y + u 2 u 2 e r T F 2 ¯ ( y ) y d y = 0 .
From (6), we have
ψ m i n ( u ; T ) ψ 1 ( u 1 ; T ) + ψ 2 ( u 2 ; T ) , as ( u 1 , u 2 ) ( , ) .
From Lemma 4, we have
ψ i ( u i ; T ) λ r u i u i e r T F i ¯ ( y ) y d y , u i , i = 1 , 2 .
Then,
ψ m i n ( u ; T ) λ r u 1 u 1 e r T F 1 ¯ ( y ) y d y + u 2 u 2 e r T F 2 ¯ ( y ) y d y , as ( u 1 , u 2 ) ( , ) .
Thus, we have completed the proof of (33).
Next, we prove relation (34). Similarly, for all t 0 , we have
U 1 ( t ) + U 2 ( t ) = d ( u 1 + u 2 ) e r t + 0 t e r ( t s ) d ( C 1 ( s ) + C 2 ( s ) ) 0 t e r ( t s ) d i = 1 N ( s ) ( X 1 i + X 2 i ) + σ 1 2 + σ 2 2 + 2 ρ σ 1 σ 2 0 t e r ( t s ) d W ( s ) ,
where { W ( t ) , t 0 } is a standard Brownian motion independent of { X 1 k , k = 1 , 2 , } , { X 2 k , k = 1 , 2 , } , { C 1 ( t ) , t 0 } , { C 2 ( t ) , t 0 } , and { N ( t ) , t 0 } .
From Lemma 4, we have
ψ s u m ( u ; T ) λ r u 1 + u 2 ( u 1 + u 2 ) e r T F 1 F 2 ¯ ( y ) y d y , u 1 + u 2 .
Let y = ( u 1 + u 2 ) e r T z ; then, d y = r T ( u 1 + u 2 ) e r T z d z . Therefore,
ψ s u m ( u ; T ) λ r 0 1 F 1 F 2 ¯ ( ( u 1 + u 2 ) e r T z ) ( u 1 + u 2 ) e r T z r T ( u 1 + u 2 ) e r T z d z = T λ 0 1 F 1 F 2 ¯ ( ( u 1 + u 2 ) e r T z ) d z , as ( u 1 , u 2 ) ( , ) .
This completes the proof of (34). The result (35) follows from (34) and Lemma 3.1 in [5]. This ends the proof of Theorem 2. □
Remark 3.
When letting { C i ( t ) = c i t , i = 1 , 2 , ρ = 0 , σ 1 = 0 , σ 2 = 0 in Theorem 2, we obtain the result in Liu et al. [23].
Theorem 3.
Consider the insurance risk model introduced in Section 1. Assume that ρ ( 1 , 0 ] , r = 0 and { X 1 k , k = 1 , 2 , } , { X 2 k , k = 1 , 2 , } , { C 1 ( t ) , t 0 } , { C 2 ( t ) , t 0 } , { N i ( t ) , t 0 } , and i = 1 , 2 , { ( B 1 ( t ) , B 2 ( t ) ) , t 0 } are mutually independent.
(a) If F 1 , F 2 S , then for each fixed time T 0 ,
ψ max ( u ; T ) λ 1 λ 2 T 2 F 1 ¯ ( u 1 ) F 2 ¯ ( u 2 ) , as ( u 1 , u 2 ) ( , ) ,
ψ min ( u ; T ) T λ 1 F 1 ¯ ( u 1 ) + λ 2 F 2 ¯ ( u 2 ) , as ( u 1 , u 2 ) ( , ) .
(b) If F ξ X 11 + ( 1 ξ ) X 21 S , where ξ is a random variable independent of { X 1 k , k = 1 , 2 , } and { X 2 k , k = 1 , 2 , } and P ( ξ = 1 ) = 1 P ( ξ = 0 ) = λ 1 λ 1 + λ 2 ; then, for each fixed time T 0 ,
ψ sum ( u ; T ) T λ 1 F 1 ¯ ( u 1 + u 2 ) + λ 2 F 2 ¯ ( u 1 + u 2 ) , as u 1 + u 2 .
Proof. 
As the proof is similar to that of Theorem 1, we only provide the main steps. First, we establish the asymptotic upper bound for ψ max ( u ; T ) . Clearly,
ψ max ( u ; T ) P i = 1 N 1 ( T ) X 1 i i = 1 N 2 ( T ) X 2 i σ 1 B ̲ 1 ( T ) σ 2 B ̲ 2 ( T ) > u 1 u 2 = 0 0 P i = 1 N 1 ( T ) X 1 i d z 1 P i = 1 N 2 ( T ) X 2 i d z 2 × P z 1 z 2 σ 1 B ̲ 1 ( T ) σ 2 B ̲ 2 ( T ) > u 1 u 2 .
Because ρ ( 1 , 0 ] , using (14), we have
P z 1 z 2 σ 1 B ̲ 1 ( T ) σ 2 B ̲ 2 ( T ) > u 1 u 2 P ( z 1 σ 1 B ̲ 1 ( T ) > u 1 ) P ( z 2 σ 2 B ̲ 2 ( T ) > u 2 ) .
Substituting (49) into (48), we obtain
ψ max ( u ; T ) P i = 1 N 1 ( T ) X 1 i σ 1 B ̲ 1 ( T ) > u 1 P i = 1 N 2 ( T ) X 2 i σ 2 B ̲ 2 ( T ) > u 1 λ 1 λ 2 T 2 F 1 ¯ ( u 1 ) F 2 ¯ ( u 2 ) , as ( u 1 , u 2 ) ( , ) ,
where in the last step we have used Lemma 3.
Next, we establish the asymptotic lower bound for ψ max ( u ; T ) . Clearly,
ψ max ( u ; T ) P i = 1 N 1 ( T ) X 1 i i = 1 N 2 ( T ) X 2 i C 1 ( T ) C 2 ( T ) σ 1 B ¯ 1 ( T ) σ 2 B ¯ 2 ( T ) > u 1 u 2 = n = 0 P ( N 1 ( T ) = n ) m = 0 P ( N 1 ( T ) = m ) I 3 ,
where
I 3 = P i = 1 n X 1 i i = 1 m X 2 i C 1 ( T ) C 2 ( T ) σ 1 B ¯ 1 ( T ) σ 2 B ¯ 2 ( T ) > u 1 u 2 .
Using the same arguments as those used to prove (31), we obtain
lim ( u 1 , u 2 ) ( , ) I 3 n m F ¯ 1 ( u 1 ) F ¯ 2 ( u 2 ) = 1 ,
from which, together with (51), we have
lim ( u 1 , u 2 ) ( , ) ψ max ( u ; T ) λ 1 λ 2 T 2 F 1 ¯ ( u 1 ) F 2 ¯ ( u 2 ) 1 .
The proof of (46) is straightforward, and is omitted here. Next, we prove (47). Using the properties of two independent compound Poisson processes and two independent Brownian motions, for all t 0 we have
U 1 ( t ) + U 2 ( t ) = d u 1 + u 2 + C 1 ( t ) + C 2 ( t ) i = 1 N 0 ( t ) ( ξ X 1 i + ( 1 ξ ) X 2 i ) + σ 1 2 + σ 2 2 + 2 ρ σ 1 σ 2 W ( t ) ,
where { W ( t ) , t 0 } is a standard Brownian motion, { N 0 ( t ) , t 0 } is a Poisson process with intensity λ 1 + λ 2 , and ξ is a Bernoulli random variable with P ( ξ = 1 ) = 1 P ( ξ = 0 ) = λ 1 λ 1 + λ 2 . Moreover, ξ , { W ( t ) , t 0 } , { N 0 ( t ) , t 0 } , { X 1 k , k = 1 , 2 , } , { X 2 k , k = 1 , 2 , } , { C 1 ( t ) , t 0 } , { C 2 ( t ) , t 0 } , and { N ( t ) , t 0 } are independent. Applying Lemma 3 to this model, we obtain
ψ sum ( u ; T ) ( λ 1 + λ 2 ) T F ¯ ξ X 11 + ( 1 ξ ) X 21 ( u 1 + u 2 ) , u 1 + u 2 ,
and result (47) follows (c.f. Kaas et al. [35].)
P ( ξ X 11 + ( 1 ξ ) X 21 > u 1 + u 2 ) = λ 1 λ 1 + λ 2 F ¯ 1 ( u 1 + u 2 ) + λ 2 λ 1 + λ 2 F ¯ 2 ( u 1 + u 2 ) .
This ends the proof of Theorem 3. □
Theorem 4.
Consider the insurance risk model introduced in Section 1. Assume that ρ ( 1 , 0 ] , r > 0 , and that { X 1 k , k = 1 , 2 , } , { X 2 k , k = 1 , 2 , } , { C 1 ( t ) , t 0 } , { C 2 ( t ) , t 0 } , { N i ( t ) , t 0 } , i = 1 , 2 , and { ( B 1 ( t ) , B 2 ( t ) ) , t 0 } are mutually independent.
(a) If F 1 , F 2 S , then for each fixed time T 0 ,
ψ max ( u ; T ) λ 1 λ 2 r 2 u 1 u 1 e r T F 1 ¯ ( y ) y d y u 2 u 2 e r T F 2 ¯ ( y ) y d y , as ( u 1 , u 2 ) ( , ) ,
ψ min ( u ; T ) 1 r λ 1 u 1 u 1 e r T F 1 ¯ ( y ) y d y + λ 2 u 2 u 2 e r T F 2 ¯ ( y ) y d y , as ( u 1 , u 2 ) ( , ) .
(b) If F ξ X 11 + ( 1 ξ ) X 21 S , where ξ is defined as in Theorem 3, then for each fixed time T 0 ,
ψ sum ( u ; T ) 1 r λ 1 u 1 + u 2 ( u 1 + u 2 ) e r T F 1 ¯ ( y ) y d y + λ 2 u 1 + u 2 ( u 1 + u 2 ) e r T F 2 ¯ ( y ) y d y , as u 1 + u 2 .
Proof. 
As in the proof of Theorem 2, we have
ψ max ( u ; T ) P i = 1 N 1 ( T ) X 1 i e r τ i i = 1 N 2 ( T ) X 2 i e r τ i σ 1 Δ ̲ 1 ( T ) σ 2 Δ ̲ 2 ( T ) > u n = 0 P ( N 1 ( T ) = n ) m = 0 P ( N 2 ( T ) = m ) × P i = 1 n X 1 i e r τ i i = 1 m X 2 i e r τ i σ 1 Δ ̲ 1 ( T ) σ 2 Δ ̲ 2 ( T ) > u n = 0 m = 0 n m P ( N ( T ) = n ) P ( N 2 ( T ) = m ) P X 11 e r T U 1 > u 1 P X 21 e r T U 1 > u 2 = λ 1 λ 2 T 2 P X 11 e r T U 1 > u 1 P X 21 e r T U 1 > u 2 .
It follows that
lim sup ( u i , u 2 ) ( , ) ψ max ( u ; T ) λ 1 λ 2 r 2 u 1 u 1 e r T F 1 ¯ ( y ) y d y u 2 u 2 e r T F 2 ¯ ( y ) y d y 1 .
The asymptotic lower bound for ψ max ( u ; T ) can be established similarly.
The relation (53) follows from (6), Lemma 4, and the fact that
lim ( u 1 , u 2 ) ( , ) ψ and ( u ; T ) λ 1 u 1 u 1 e r T F 1 ¯ ( y ) y d y + λ 2 u 2 u 2 e r T F 2 ¯ ( y ) y d y lim ( u 1 , u 2 ) ( , ) λ 1 λ 2 r 2 u 1 u 1 e r T F 1 ¯ ( y ) y d y u 2 u 2 e r T F 2 ¯ ( y ) y d y λ 1 u 1 u 1 e r T F 1 ¯ ( y ) y d y + λ 2 u 2 u 2 e r T F 2 ¯ ( y ) y d y = 0 .
Finally, we prove (54). Using the same arguments as above, we have
U 1 ( t ) + U 2 ( t ) = d ( u 1 + u 2 ) e r t + 0 t e r ( t s ) d ( C 1 ( s ) + C 2 ( s ) ) 0 t e r ( t s ) d i = 1 N 0 ( t ) ( ξ X 1 i + ( 1 ξ ) X 2 i ) + σ 1 2 + σ 2 2 + 2 ρ σ 1 σ 2 0 t e r ( t s ) d W ( s ) , t 0 ,
where ξ , { W ( t ) , t 0 } , { N 0 ( t ) , t 0 } are the same as in the proof of Theorem 3. It follows from Lemma 4 that
ψ sum ( u ; T ) λ 1 + λ 2 r u 1 + u 2 ( u 1 + u 2 ) e r T F ¯ ξ X 11 + ( 1 ξ ) X 21 ( y ) y d y , u 1 + u 2 ,
and the result (54) follows, as
F ¯ ξ X 11 + ( 1 ξ ) X 21 ( y ) = λ 1 λ 1 + λ 2 F ¯ 1 ( y ) + λ 2 λ 1 + λ 2 F ¯ 2 ( y ) .
This completes the proof of Theorem 4. □

5. Conclusions

In this paper, we have investigated a bidimensional risk model that describes the surplus process of an insurer. We provide new results for the different types of finite-time ruin probabilities under the circumstance of that the Brownian motions are correlated with a constant correlation coefficient. We remark that the extension to multidimensional models is more complicated. However, multidimensional models can better describe different insurance businesses. In addition, we might consider the relationship between different businesses in the future research, which could be an even more interesting problem.

Author Contributions

Methodology, M.Z.; Writing—original draft, D.Z.; Writing—review & editing, C.Y. All authors have equally contributed to this paper. All authors have read and agreed to the published version of the manuscript.

Funding

The research was supported by the National Natural Science Foundation of China (No. 12071251); the Youth Innovation Team of Shandong Universities (Grant No. 2022KJ174).

Data Availability Statement

Not applicable.

Conflicts of Interest

The authors declare no conflict of interest.

References

  1. Tang, Q.H. The ruin probability of a discrete time risk model under constant interest rate with heavy tails. Scand. Actuar. J. 2004, 3, 229–240. [Google Scholar] [CrossRef]
  2. Tang, Q.H. The finite-time ruin probability of the compound Poisson model with constant interest force. J. Appl. Probab. 2005, 42, 608–619. [Google Scholar] [CrossRef]
  3. Wang, D. Finite-time ruin probabiliy with heavy-tailed claims and constant interest rate. Stoch. Model. 2008, 24, 41–57. [Google Scholar] [CrossRef]
  4. Wang, Y.; Cui, Z.; Wang, K.; Ma, X. Uniform asymptotics of the finite-time ruin probability for all times. J. Math. Anal. Appl. 2012, 390, 208–223. [Google Scholar] [CrossRef] [Green Version]
  5. Hao, X.; Tang, Q.H. A uniform asymptotic estimate for discounted aggregate claims with subexponential tails. Insur. Math. Econom. 2008, 43, 116–120. [Google Scholar] [CrossRef]
  6. Chen, Y.; Yang, Y.; Jiang, T. Uniform asymptotics for finite-time ruin probability of a bidimensional risk model. J. Math. Anal. Appl. 2019, 469, 525–536. [Google Scholar] [CrossRef]
  7. Cheng, D. Uniform asymptotics for the finite-time ruin probability of a generalized bidimensional risk model with Brownian perturbations. Stoch. Int. J. Probab. Stoch. Process. 2019, 93, 1–16. [Google Scholar] [CrossRef]
  8. Li, J.Z. The infinite-time ruin probability for a bidimensional renewal risk model with constant force of interest and dependent claims. Commun. Stat. Theory Methods 2017, 46, 1959–1971. [Google Scholar] [CrossRef]
  9. Chan, W.; Yang, H.L.; Zhang, L. Some results on ruin probabilities in a two-dimensional risk model. Insur. Math. Econom. 2003, 32, 345–358. [Google Scholar] [CrossRef]
  10. Avram, F.; Palmowski, Z.; Pistorius, M. A two-dismensional ruin problem on the positive quadrant. Insur. Math. Econom. 2008, 42, 227–234. [Google Scholar] [CrossRef] [Green Version]
  11. Chen, Y.; Yuen, K.C.; Ng, K.W. Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claim. Appl. Stoch. Model. Bus. Ind. 2011, 27, 290–300. [Google Scholar] [CrossRef]
  12. Li, J.; Liu, Z.; Tang, Q.H. On the ruin probabilities of a bidimensional perturbed risk model. Insur. Math. Econom. 2007, 41, 85–195. [Google Scholar] [CrossRef]
  13. Chen, Y.; Wang, L.; Wang, Y.B. Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models. J. Math. Anal. Appl. 2013, 401, 124–129. [Google Scholar] [CrossRef]
  14. Yang, H.; Li, J. Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims. Insur. Math. Econom. 2014, 58, 185–192. [Google Scholar] [CrossRef]
  15. Lu, D.; Yuan, M. Asymptotic finite-time ruin probabilities for a bidimensional delay-claim risk model with subexponential claims. Methodol. Comput. Appl. Probab. 2022, 24, 2265–2286. [Google Scholar] [CrossRef]
  16. Wang, S.; Qian, H.; Sun, H.; Geng, B. Uniform asymptotics for ruin probabilities of a non standard bidimensional perturbed risk model with subexponential claims. Commun. Stat. Theory Methods 2022, 51, 7871–7884. [Google Scholar] [CrossRef]
  17. Asmussen, S.; Albrecher, H. Ruin Probabilities; World Scientific: Singapore, 2010. [Google Scholar]
  18. Bingham, N.H.; Goldie, C.M.; Teugels, J.L. Regular Variation; Cambridge University Press: Cambridge, UK, 1987. [Google Scholar]
  19. Cline, D.; Samorodnitsky, G. Subexponentiality of the product of independent random variables. Stoch. Proc. Appl. 1994, 49, 75–98. [Google Scholar] [CrossRef] [Green Version]
  20. Ke, Y.; Minsker, S.; Ren, Z.; Sun, Q.; Zhou, W.X. User-friendly covariance estimation for heavy-tailed distributions. Stat. Sci. 2019, 34, 454–471. [Google Scholar] [CrossRef] [Green Version]
  21. Konstantin, T. Sample covariance matrices of heavy-tailed distributions. Int. Math. Res. Not. 2018, 2018, 6254–6289. [Google Scholar]
  22. Tang, Q.H.; Tsitsiashvili, G. Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks. Stoch. Proc. Appl. 2003, 108, 299–325. [Google Scholar] [CrossRef]
  23. Liu, L.; Wang, B.; Long, G. The finite-time ruin probability of a bidimensional risk model with heavy-tailed clsims. Math. Theory Appl. 2007, 27, 67–71. (In Chinese) [Google Scholar]
  24. Zhang, Y.; Wang, W. Ruin probabilities of a bidimensional risk model with investment. Stat. Probab. Lett. 2012, 82, 130–138. [Google Scholar] [CrossRef]
  25. Embrechts, P.; Klüppelberg, C.; Mikosch, T. Modelling Extremal Events for Insurance and Finance; Springer: Berlin, Germany, 1997. [Google Scholar]
  26. Ross, R. Stochastic Processes; Wiley: New York, NY, USA, 1983. [Google Scholar]
  27. Ebrahimi, N. On the dependence structure of certain multi-dimensional Ito processes and corresponding hitting times. J. Multivar. Anal. 2002, 81, 128–137. [Google Scholar] [CrossRef] [Green Version]
  28. Pitt, L. Positively correlated normal variables are associated. Ann. Probab. 1982, 10, 496–499. [Google Scholar] [CrossRef]
  29. He, H.; Keirstead, W.P.; Rebholz, J. Double lookbacks. Math. Financ. 1998, 8, 201–228. [Google Scholar] [CrossRef]
  30. Shao, J.; Wang, X. Estimates of the exit probability for two correlated Brownian motions. Adv. Appl. Probab. 2013, 45, 37–50. [Google Scholar] [CrossRef] [Green Version]
  31. Ikeda, N.; Watanabe, S. Stochastic Differential Equations and Diffusion Processes; North-Holland Publishing Company: Amsterdam, The Netherlands, 1981. [Google Scholar]
  32. Yin, C.C.; Wen, Y. An extension of Paulsen-Gjessing’s risk model with stochastic return on investments. Insur. Math. Econom. 2013, 52, 469–476. [Google Scholar] [CrossRef] [Green Version]
  33. Embrechts, P.; Goldie, C.M. On closure and factorization properties of subexponential and related distributions. J. Aust. Math. Soc. Ser. A 1980, 29, 243–256. [Google Scholar] [CrossRef] [Green Version]
  34. Geluk, J.; Tang, Q.H. Asymptotic tail probabilities of sums of dependent subexponential random variables. J. Theor. Probab. 2009, 22, 871–882. [Google Scholar] [CrossRef] [Green Version]
  35. Kaas, R.; Goovaerts, M.J.; Dhaene, J.; Denuit, M. Modern Actuarial Risk Theory; Kluwer Academic Publishers: Boston, MA, USA, 2008. [Google Scholar]
Disclaimer/Publisher’s Note: The statements, opinions and data contained in all publications are solely those of the individual author(s) and contributor(s) and not of MDPI and/or the editor(s). MDPI and/or the editor(s) disclaim responsibility for any injury to people or property resulting from any ideas, methods, instructions or products referred to in the content.

Share and Cite

MDPI and ACS Style

Zhu, D.; Zhou, M.; Yin, C. Finite-Time Ruin Probabilities of Bidimensional Risk Models with Correlated Brownian Motions. Mathematics 2023, 11, 2767. https://doi.org/10.3390/math11122767

AMA Style

Zhu D, Zhou M, Yin C. Finite-Time Ruin Probabilities of Bidimensional Risk Models with Correlated Brownian Motions. Mathematics. 2023; 11(12):2767. https://doi.org/10.3390/math11122767

Chicago/Turabian Style

Zhu, Dan, Ming Zhou, and Chuancun Yin. 2023. "Finite-Time Ruin Probabilities of Bidimensional Risk Models with Correlated Brownian Motions" Mathematics 11, no. 12: 2767. https://doi.org/10.3390/math11122767

Note that from the first issue of 2016, this journal uses article numbers instead of page numbers. See further details here.

Article Metrics

Back to TopTop