Asymptotic Finite-Time Ruin Probabilities for a Bidimensional Delay-Claim Risk Model with Subexponential Claims

Dawei Lu () and Meng Yuan ()
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Dawei Lu: Dalian University of Technology
Meng Yuan: Dalian University of Technology

Methodology and Computing in Applied Probability, 2022, vol. 24, issue 4, 2265-2286

Abstract: Abstract This paper considers a bidimensional delay-claim risk model with constant force of interest, in which each main claim may induce a delayed claim after a random time. Specifically, if the main claims and delayed claims follow the subexponential distributions with some dependence structure, we obtain some precise asymptotic estimates for the finite-time ruin probabilities. In addition, some numerical simulations are presented to test the performance of the theoretical results.

Keywords: Ruin probability; Subexponential class; Delayed claim; 62P05; 91G05; 62E10 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s11009-021-09921-2

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