Asymptotic behavior of ruin probabilities in a multidimensional risk model with investment and multivariate regularly varying claims

Consider a continuous-time multidimensional risk model with investment in which an insurer simultaneously operates d kinds of businesses. The claim-size vectors form a sequence of independent and identically distributed nonnegative random vectors; the claim-number processes, renewal counting ones or not, are arbitrarily dependent on each other; and the price process of the investment portfolio is described as a geometric Levy process. Under the framework of the multivariate regular variation structure on the generic claim-size vector, this paper establishes some asymptotic formulas for three types of ruin probabilities. (c) 2023 Elsevier Inc. All rights reserved.