In this paper, we focus on a bidimensional risk model with heavy-tailed claims and geometric L?vy price processes, in which the two claim-number processes generated by kinds of business are not necessary to be identical can arbitrarily dependent. model, claim size vectors (X1,Y1), (X2,Y2),... supposed independent identically distributed random vectors, but for i ? 1, each pair (Xi,Yi) follows s...

For the renewal risk model with subexponential claim sizes, we establish for the finite time ruin probability a lower asymptotic estimate as initial surplus increases, subject to the demand that it should hold uniformly over all time horizons in an infinite interval. This extends a recent work partly on the topic from the case of Pareto-type claim sizes to the case of subexponential claim sizes...

We study the expected time to ruin in a risk process in which dividends are paid when the surplus is above the barrier. We consider the case in which the dividend rate is smaller than the premium rate. We obtain results for the classical compound Poisson risk process with phase-type claim size. When the ruin probability is 1, we derive the expected time to ruin and the expected dividends paid. ...

This paper studies ruin probabilities in two discrete-time risk models with premiums, claims and rates of interest modelled by three autoregressive moving average processes. Generalized Lundberg inequalities for ruin probabilities are derived by using recursive technique. A numerical example is given to illustrate the applications of these probability inequalities. Keywords—Lundberg inequality,...

In response to criticism concerning the current solvency system, the European Commission is developing new rules for insurance companies operating in the member states of the European Union (EU). Under this so-called Solvency II concept, an insurer is allowed to verify its solvency by using an internal risk management model previously approved by the regulatory authority. In this article we dev...