Asymptotics for a bidimensional delay-claim risk model with subexponential claims and arbitrary dependence between the generic inter-arrival time pair

Keya Zhang and Shijie Wang

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 24, 8688-8708

Abstract: This article considers a bidimensional delay-claim renewal risk model with a constant interest force, in which it is assumed that each main claim and its corresponding delayed claim from one business line satisfy a general dependence structure and the generic inter-arrival time pair from the two lines of main claims is arbitrarily dependent. In the presence of subexponential main and delayed claims, the corresponding asymptotic formulae for four types of finite-time ruin probabilities are established which extend some existing ones in the literature.

Date: 2024
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DOI: 10.1080/03610926.2023.2293642

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