|
Abstract
|
In the insurance portfolio risk models, appropriate risk management requires an effective measurement of the risk associated with an insurance portfolio. In this paper, we develop a risk model where it is modeled by a continuous exponential Levy process. We impose a larger class of dependence structure than Li between the claim size and the inter-arrival time based on the Farlie-Gumbel-Morgenstern copula and obtain the uniform asymptotic evaluation of finite time ruin probability when the claim amounts belong to the regularly varying-tailed distributions. Moreover, we study the risk measure for insurance portfolio to financial management and risk evaluation in order to obtain the minimal ruin probabilities. Finally, some numerical examples via Monte Carlo simulation are presented to show the application and effectiveness of results.
|