Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims

Dimitrios G. Konstantinides and Jinzhu Li

Insurance: Mathematics and Economics, 2016, vol. 69, issue C, 38-44

Abstract: This paper studies a continuous-time multidimensional risk model with constant force of interest and dependence structures among random factors involved. The model allows a general dependence among the claim-number processes from different insurance businesses. Moreover, we utilize the framework of multivariate regular variation to describe the dependence and heavy-tailed nature of the claim sizes. Some precise asymptotic expansions are derived for both finite-time and infinite-time ruin probabilities.

Keywords: Asymptotics; Dependence; Multidimensional renewal risk model; Multivariate regular variation; Ruin probability (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:69:y:2016:i:c:p:38-44

DOI: 10.1016/j.insmatheco.2016.04.003

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