Asymptotics for the ruin probabilities of a two‐dimensional renewal risk model with heavy‐tailed claims

Yiqing Chen, Kam C. Yuen and Kai W. Ng

Applied Stochastic Models in Business and Industry, 2011, vol. 27, issue 3, 290-300

Abstract: In this paper, we consider two dependent classes of insurance business with heavy‐tailed claims. The dependence comes from the assumption that claim arrivals of the two classes are governed by a common renewal counting process. We study two types of ruin in the two‐dimensional framework. For each type of ruin, we establish an asymptotic formula for the finite‐time ruin probability. These formulae possess a certain uniformity feature in the time horizon. Copyright © 2010 John Wiley & Sons, Ltd.

Date: 2011
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https://doi.org/10.1002/asmb.834

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:27:y:2011:i:3:p:290-300

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