Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return

Jinzhu Li

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 16, 5773-5784

Abstract: We consider a continuous-time two-dimensional risk model, in which the claims from the two lines of insurance businesses satisfy an extensive asymptotic independence structure and the stochastic return is driven by a geometric Lévy process. Under a mild technical condition regarding the Laplace exponent of the Lévy process, we obtain explicit asymptotic expansions for both finite-time and infinite-time ruin probabilities when the claim sizes have regularly varying distributions.

Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2023.2232906 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:53:y:2024:i:16:p:5773-5784

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2023.2232906

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().