Asymptotics for a Bidimensional Renewal Risk Model with Subexponential Main Claims and Delayed Claims

Shijie Wang (), Yueli Yang (), Yang Liu () and Lianqiang Yang ()
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Shijie Wang: Anhui University
Yueli Yang: Anhui University
Yang Liu: Hangzhou City University
Lianqiang Yang: Anhui University

Methodology and Computing in Applied Probability, 2023, vol. 25, issue 3, 1-13

Abstract: Abstract This paper considers a bidimensional renewal risk model with main claims and delayed claims. Concretely, suppose that an insurance company simultaneously operates two kinds of businesses. Each line of business separately triggers two types of claims. One type is the main claim and the other is the delayed claim occurring a little later than its main claim. Assuming that two kinds of main claims, as well as their corresponding delayed claims, are mutually independent and subexponential, an asymptotic formula for the finite-time ruin probability of this risk model is obtained as the initial surpluses tend to infinity. In addition, some simulation studies are also performed to check the accuracy of the obtained theoretical result.

Keywords: Bidimensional risk model; Delayed claim; Ruin probability; Subexponential distribution.; 62P05; 62E10 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s11009-023-10050-1

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