Ruin probabilities of a two-dimensional risk model with dependent risks of heavy tail

Xinmei Shen and Yi Zhang

Statistics & Probability Letters, 2013, vol. 83, issue 7, 1787-1799

Abstract: This paper considers a two-dimensional discrete time risk model with constant interest rates, and individual net losses in ERV(−α,−β), the class of extended regular variations with indices 0<α≤β<∞. Some asymptotic results for both finite-time and infinite-time ruin probabilities under two types of ruin times are established. The two components of net losses are allowed to be generally dependent.

Keywords: Ruin probability; Two-dimensional; Extended regular variation distributions (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2013.03.029

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