Asymptotic ruin probabilities for a bidimensional risk model with heavy-tailed claims and non-stationary arrivals

Ke-Ang Fu and Jie Li

Communications in Statistics - Theory and Methods, 2019, vol. 48, issue 24, 6169-6178

Abstract: This article studies a bidimensional risk model, in which an insurer simultaneously confronts two kinds of claims sharing a common non-stationary arrival process. Assuming that the arrival process satisfies a large deviation principle and the claim-size distributions are heavy tailed, an asymptotic formula for the corresponding ruin probability of this bidimensional risk model is obtained.

Date: 2019
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DOI: 10.1080/03610926.2018.1529242

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