Finite-time ruin probability of a perturbed risk model with dependent main and delayed claims

This paper considers a delayed claim risk model with stochastic return and Brownian perturbation in which each main claim may be accompanied with a delayed claim occurring after a stochastic period of time, and the price process of the investment portfolio is described as a geometric Lévy process. By means of the asymptotic results for randomly weighted sum of dependent subexponential random variables we obtain some asymptotics for finite-time ruin probability. A simulation study is also performed to check the accuracy of the obtained theoretical result via the crude Monte Carlo method.