Asymptotics for ruin probabilities of a bidimensional risk model with a random number of delayed claims

Yiqiao Jia, Zhangting Chen and Dongya Cheng

Communications in Statistics - Theory and Methods, 2025, vol. 54, issue 10, 2990-3007

Abstract: This article considers a non-standard bidimensional risk model with constant force of interest, in which every main claim may cause a random number of delayed claims in an uncertain period of time. Specifically, if both the main claims and delayed claims are subexponential and follow some dependence structure, we drive precise asymptotic formulae for finite-time ruin probabilities, which generalize the results of Lu and Yuan (2022) and Li (2023b) to some extent.

Date: 2025
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DOI: 10.1080/03610926.2024.2379040

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