Asymptotic Results for Ruin Probability of a Two-Dimensional Renewal Risk Model

Yang Chen · Yuebao Wang · Kaiyong Wang

41 citations0/0 files storedStochastic Analysis and Applications

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Probability and Risk Models Insurance and Financial Risk Management Probability and Statistical Research

Abstract

In this article, some asymptotic formulas of the finite-time ruin probability for a two-dimensional renewal risk model are obtained. In the model, the distributions of two claim amounts belong to the intersection of the long-tailed distributions class and the dominated varying distributions class and the claim arrival-times are extended negatively dependence structures. Assumption that the claim arrivals of two classes are governed by a common renewal counting process. The asymptotic formulas hold uniformly for t ∈ [f(x), ∞), where f(x) is an infinitely increasing function.

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References

1994Subexponentiality of the product of independent random variables 2003Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks 2009Precise large deviations for dependent random variables with heavy tails 2011Uniform Asymptotics for the Finite-Time Ruin Probability of a Dependent Risk Model with a Constant Interest Rate 2011A note on a dependent risk model with constant interest rate 2012Tail behavior of the product of two dependent random variables with applications to risk theory 2010Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims 2004Tail Asymptotics for the Supremum of a Random Walk when the Mean Is not Finite

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2012Asymptotic lower bounds of precise large deviations with nonnegative and dependent random variables 2016A Revisit to Asymptotic Ruin Probabilities for a Bidimensional Renewal Risk Model 2016Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims

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