Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model

Tao Jiang, Yuebao Wang, Yang Chen and Hui Xu

Insurance: Mathematics and Economics, 2015, vol. 64, issue C, 45-53

Abstract: This paper studies a bidimensional renewal risk model with constant force of interest and subexponentially distributed claim size vector. Some uniform asymptotic estimates for finite-time ruin probabilities are established when the claim size vector and its inter-arrival time are subject to certain general dependence structure.

Keywords: Subexponential distribution; Time dependence; Bidimensional renewal model; Finite-time ruin probabilities; Uniform asymptotic estimate (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:64:y:2015:i:c:p:45-53

DOI: 10.1016/j.insmatheco.2015.04.006

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