Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims

被引：21

作者：

Cheng, Dongya ^{[1
]}

Yang, Yang ^{[2
]}

Wang, Xinzhi ^{[2
]}

机构：

[1] Soochow Univ, Sch Math Sci, Suzhou 215006, Peoples R China

[2] Nanjing Audit Univ, Dept Stat, Nanjing 211815, Peoples R China

来源：

JAPAN JOURNAL OF INDUSTRIAL AND APPLIED MATHEMATICS | 2020年 / 37卷 / 03期

基金：

中国国家自然科学基金;

关键词：

Bidimensional renewal risk model; Ruin probability; Subexponential distribution; Strongly asymptotic independence; DISCOUNTED AGGREGATE CLAIMS; UNIFORM ASYMPTOTICS; BEHAVIOR;

D O I：

10.1007/s13160-020-00418-y

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, in which the two components of each pair of claim sizes are linked via the strongly asymptotic independence structure and the two claim-number processes from different lines of business are (almost) arbitrarily dependent. Precise asymptotic formulas for three kinds of finite-time ruin probabilities are established when the claim sizes have heavy-tailed tails.

引用

页码：657 / 675

页数：19

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