Ruin Probability And Limit Theory For Dependent Risks Model

In the recent years, a number of major financial crisis occur frequently,increasinglysevere financial market volatility, which poses a real challenges to risk management. Peoplecall for a more appropriat risk model to handle these situations. In this paper, we studyissues related to dependent risks model based on Previous, which are discussed in bothdiscrete time and continuous time framework, the main three questions follows:First,we studied the variable interest rate risk model with discrete time ruin probabilityproblem and establish a risk model with dependent variable interest rate in the discretemarket. Then we discuss with variable interest rate risk model dependent probability, findthe relationship between the survival function and bankruptcy probability, and prove ruinprobability with variable interest rates for dependent risk model the use of new methods.Secondly,we study the optimal stopping problem of loss reinsurance strategy withdownside risk for the dependent risk , the Copula function (Copula functions) introducedinto the re-insurance. We establish the dependent risks mathematical model of the rein-surance , study the optimal stopping risk-dependent loss reinsurance strategy used as ameasure of downside risk, and get the optimal stop-loss policy expression.Finally, we study dependent risks investment model dependent central limit theoremand moderate deviation principle, establish the structure of multivariate mixed dependentvariance risk model, study the asymptotic theory of dependent risks, and get central limittheorem and moderate deviation principle for dependent risks.