Uniform asymptotics for the ruin probabilities in a bidimensional renewal risk model with strongly subexponential claims

被引：25

作者：

Cheng, Dongya ^{[1
]}

Yu, Changjun ^{[2
]}

机构：

[1] Soochow Univ, Sch Math Sci, Suzhou, Peoples R China

[2] Nantong Univ, Sch Sci, Nantong, Peoples R China

来源：

STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES | 2019年 / 91卷 / 05期

基金：

中国国家自然科学基金;

关键词：

Bidimensional renewal risk model; heavy-tailed distributions; finite-time ruin probabilities; uniform asymptotics; BEHAVIOR;

D O I：

10.1080/17442508.2018.1539088

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper considers a bidimensional continuous-time renewal risk model of insurance business with different claim-number processes and strongly subexponential claims. For the finite-time ruin probability defined as the probability for the aggregate surplus process to break down the horizontal line at the level zero within a given time, an uniform asymptotic formula is established, which provides new insights into the solvency ability of the insurance company.

引用

页码：643 / 656

页数：14

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