Asymptotics for Finite-Time Ruin Probabilities of a Dependent Bidimensional Risk Model with Stochastic Return and Subexponential Claims

The paper considers a bidimensional continuous-time risk model with subexponential claims and Brownian perturbations, in which the price processes of the investment portfolio of the two lines of business are two geometric Lévy processes and the two lines of business share a common claim-number process, which is a renewal counting process. The paper mainly considers the claims of each line of business having a dependence structure. When the claims have subexponential distributions, the asymptotics of the finite-time ruin probabilities ψand(x1,x2;T) and ψsim(x1,x2;T) have been obtained. When the distributions of claims belong to the intersection of long-tailed and dominatedly varying-tailed distribution classes, the asymptotics of the finite-time ruin probability ψor(x1,x2;T) is given.