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

被引：19
|
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
收藏
页码：657 / 675
页数：19
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