Ruin Problems Of Multidimensional Risk Models Under Interest Rates And Dependent Risks With Heavy Tails

In insurance practice,an insurance company usually operate multiple lines of business,and the occurrence of a claim event often leads to the simultaneous claim of several insurance policies.Thus,the multidimensional models and related theories have become a hot issue for many researchers recently.This paper mainly studies the multidimensional risk model with interest rates and obtains the asymptotic behavior of the corresponding ruin probability allowing capital transfer.It mainly includes the following aspects.Section 1 briefly introduces the heavy-tailed distribution family,the definition of the Copula function,and recent related research at home and abroad.Section 2 proposes a discrete-time multidimensional risk model with constant interest rates and heavy-tailed claim sizes,the ruin set which allows partial capital transfer.Based on the given assumptions,the asymptotic estimations of the corresponding finite-time ruin probability are obtained.Simple examples are given and the optimal allocation of initial reserves is studied.Then,some numerical simulations are presented to illuminate the main results.In Section 3,the multidimensional heavy-tailed risk model under stochastic interest rates is further considered.The asymptotic estimations of the corresponding ruin probability and some simple applications are obtained.