Asymptotic ruin probabilities of a two-dimensional renewal risk model with dependent inter-arrival times

Dongya Cheng and Changjun Yu

Communications in Statistics - Theory and Methods, 2020, vol. 49, issue 7, 1742-1760

Abstract: This article mainly considers the uniform asymptotics for the finite-time ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims. In this model, the two claim-number processes are arbitrarily dependent and each of them is generated by widely orthant dependent claim inter-arrival times. Two types of ruin are studied and for each type of ruin, an asymptotic formula for the finite-time ruin probability is established. These formulae possess a certain uniformity feature in the time horizon.

Date: 2020
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DOI: 10.1080/03610926.2019.1565782

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