Asymptotics for a Bidimensional Renewal Risk Model with Subexponential Main Claims and Delayed Claims

被引：4

作者：

Wang, Shijie ^{[1
]}

Yang, Yueli ^{[2
]}

Liu, Yang ^{[3
]}

Yang, Lianqiang ^{[4
]}

机构：

[1] Anhui Univ, Sch Big Data & Stat, Hefei 230601, Anhui, Peoples R China

[2] Anhui Univ, Sch Math Sci, Hefei 230601, Anhui, Peoples R China

[3] Hangzhou City Univ, Dept Stat & Data Sci, Hangzhou 310015, Peoples R China

[4] Anhui Univ, Sch Artificial Intelligence, Hefei 230601, Anhui, Peoples R China

来源：

METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY | 2023年 / 25卷 / 03期

关键词：

Bidimensional risk model; Delayed claim; Ruin probability; Subexponential distribution; TIME RUIN PROBABILITY; FINITE-TIME; UNIFORM ASYMPTOTICS; FORCE; SUMS;

D O I：

10.1007/s11009-023-10050-1

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper considers a bidimensional renewal risk model with main claims and delayed claims. Concretely, suppose that an insurance company simultaneously operates two kinds of businesses. Each line of business separately triggers two types of claims. One type is the main claim and the other is the delayed claim occurring a little later than its main claim. Assuming that two kinds of main claims, as well as their corresponding delayed claims, are mutually independent and subexponential, an asymptotic formula for the finite-time ruin probability of this risk model is obtained as the initial surpluses tend to infinity. In addition, some simulation studies are also performed to check the accuracy of the obtained theoretical result.

引用

页数：13

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