Asymptotic estimates for ruin probabilities in a bidimensional delay-claim risk model with subexponential claims

Yuchen Sun, Meng Yuan and Dawei Lu

Communications in Statistics - Theory and Methods, 2025, vol. 54, issue 11, 3149-3173

Abstract: This article studies the asymptotic behaviors for some common ruin probabilities of a bidimensional delay-claim risk model, in which each claim follows a subexponential distribution and each claim-size inherits some dependence structure. Meanwhile, the asymptotic behavior for sum ruin probability of the bidimensional delay-claim risk model is investigated when the two components of each claim inter-arrival time vector are arbitrarily dependent.

Date: 2025
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DOI: 10.1080/03610926.2024.2386411

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