Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments

Ke-Ang Fu and Cheuk Yin Andrew Ng

Statistics & Probability Letters, 2017, vol. 125, issue C, 227-235

Abstract: Consider a two-dimensional renewal risk model, in which the independent and identically distributed claim-size random vectors follow a common bivariate Farlie–Gumbel–Morgenstern distribution. Assuming that the surplus is invested in a portfolio whose return follows a Lévy process and that the claim-size distribution is heavy-tailed, uniformly asymptotic estimates for two kinds of finite-time ruin probabilities of the two-dimensional risk model are obtained.

Keywords: Dominatedly varying tail; Farlie–Gumbel–Morgenstern distribution; Long tail; Investment return; Ruin (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2017.02.015

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