Uniform asymptotic estimates for ruin probabilities of a multidimensional risk model with cadlag returns and multivariate heavy tailed claims

Abstract: We study a multidimensional renewal risk model, with common counting process and cadlag returns. Considering that the claim vectors have common distribution from some multivariate distribution class with heavy tail, are mutually weakly dependent, and each one has arbitrarily dependent components, we obtain uniformly asymptotic estimations for the probability of entrance of discounted aggregate claims into a some rare sets, over a finite time horizon. Direct consequence of the claim behavior is the estimation of the ruin probability of the model in some ruin sets. Further, restricting the distribution class of the claim vectors in the multivariate regular variation, the estimations still hold uniformly over the whole time horizon.