The infinite-time ruin probability for a bidimensional renewal risk model with constant force of interest and dependent claims

Jinzhu Li

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 4, 1959-1971

Abstract: This article studies a continuous-time bidimensional risk model, in which an insurer simultaneously confronts two kinds of claim sharing a common renewal claim-number process. 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 with extended regularly varying margins, we derive an explicit asymptotic formula for the corresponding infinite-time ruin probability.

Date: 2017
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DOI: 10.1080/03610926.2015.1030428

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