Uniform asymptotics for ruin probabilities of a non standard bidimensional perturbed risk model with subexponential claims

Shijie Wang, Huan Qian, Huimin Sun and Bingzhen Geng

Communications in Statistics - Theory and Methods, 2021, vol. 51, issue 22, 7871-7884

Abstract: In this paper, we consider three types of finite-time ruin probabilities for a non standard bidimensional risk model perturbed by diffusion. In this model, it is assumed that the two claim-arrival processes are general counting processes and arbitrarily dependent. Moreover, the two classes of claim sizes are dependent according to a certain structure proposed in Ko and Tang (Journal of Applied Probability 45:5–95, 2008). When the claim sizes are assumed to be subexponential, we derive three uniformly asymptotic formulas for finite-time ruin probabilities over a finite interval of time horizon. The obtained results extend some existing ones in the literature.

Date: 2021
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DOI: 10.1080/03610926.2021.1882496

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