Asymptotic ruin probabilities for a bidimensional renewal risk model

被引：22

作者：

Yang, Haizhong ^{[1
]}

Li, Jinzhu ^{[2
,3
]}

机构：

[1] Northwestern Polytech Univ, Econ Res Ctr, Xian, Peoples R China

[2] Nankai Univ, Sch Math Sci, Tianjin, Peoples R China

[3] Nankai Univ, LPMC, Tianjin, Peoples R China

来源：

STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC REPORTS | 2017年 / 89卷 / 05期

基金：

中国国家自然科学基金;

关键词：

Asymptotics; bidimensional renewal risk model; ruin probability; subexponential class; extended regular variation; DEPENDENT CLAIMS; FORCE;

D O I：

10.1080/17442508.2016.1276909

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper studies a bidimensional renewal risk model with constant force of interest and heavy-tailed claims. We extend the existing models through allowing arbitrary dependences between each pair of inter-arrival times of the two kinds of insurance claims. A precise asymptotic formula for the finite-time ruin probability is obtained when the claims have subexponential tails. Further restricting the claim-size distributions within the class of extended regular variation, we derive the corresponding asymptotic formula for the infinite-time ruin probability.

引用

页码：687 / 708

页数：22

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