Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims

Haizhong Yang and Jinzhu Li

Insurance: Mathematics and Economics, 2014, vol. 58, issue C, 185-192

Abstract: This paper considers a bidimensional renewal risk model with constant interest force and dependent subexponential claims. Under the assumption that the claim size vectors form a sequence of independent and identically distributed random vectors following a common bivariate Farlie–Gumbel–Morgenstern distribution, we derive for the finite-time ruin probability an explicit asymptotic formula.

Keywords: Asymptotics; Bidimensional renewal risk model; Farlie–Gumbel–Morgenstern distribution; Ruin probability; Subexponentiality (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:58:y:2014:i:c:p:185-192

DOI: 10.1016/j.insmatheco.2014.07.007

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