Asymptotic sum-ruin probability for a bidimensional renewal risk model with subexponential claims

Huimin Sun, Bingzhen Geng and Shijie Wang

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 7, 2057-2071

Abstract: This article considers a bidimensional continuous-time renewal risk model with a constant interest force, in which the claim sizes from the same business line are dependent following a general dependence structure proposed by Ko and Tang (2008) and each pair of inter-arrival times of the two kinds of insurance claims are arbitrarily dependent. In the presence of subexponential claim sizes, the corresponding asymptotic formula for the finite-time sum-ruin probability is established.

Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:52:y:2023:i:7:p:2057-2071

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DOI: 10.1080/03610926.2021.1944215

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