Asymptotic Ruin Probability for a Bidimensional Delay-claim Risk Model with Dependent Subexponential Claims

Yuchen Sun (), Dawei Lu () and Meng Yuan ()
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Yuchen Sun: Jilin University, School of Mathematics
Dawei Lu: Dalian University of Technology, School of Mathematical Sciences
Meng Yuan: Dongbei University of Finance and Economics, School of Data Science and Artificial Intelligence

Methodology and Computing in Applied Probability, 2025, vol. 27, issue 4, 1-23

Abstract: Abstract In insurance risk management, catastrophic events typically lead to multiple claims, which are often interdependent, such as property damage, potentially accompanied by delayed claims for medical compensation. This paper investigates a bidimensional dependent delayed claim risk model, incorporating a common counting process and Brownian motion to capture the uncertainties in risky investments. Within this framework, we derive an asymptotic estimate for the finite-time ruin probability and explore natural extensions to a multidimensional risk model, enhancing its flexibility and adaptability to various business strategies and the evolving demands of risk management. Numerical simulations are provided to validate the accuracy of the derived asymptotic results.

Keywords: Asymptotics; Dependence structure; Delay-claim risk model; Ruin probability; Subexponential class; 62P05; 62E20; 91B05 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s11009-025-10224-z

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