Asymptotic behavior for finite-time ruin probabilities in a generalized bidimensional risk model with subexponential claims View Full Text


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Article Info

DATE

2021-06-11

AUTHORS

Fengyang Cheng, Dongya Cheng, Zhangting Chen

ABSTRACT

Consider a generalized bidimensional continuous-time risk model with heavy-tailed claims and Brownian perturbations, in which the claim sizes from each line of business are dependent according to the dependence structure first proposed by [12] and later generalized by [21], while the claim-number processes from different lines of business are almost arbitrarily dependent. Under the assumption that the claim sizes have subexponential distributions, some asymptotic formulae are established for the finite-time ruin probabilities defined as the probabilities that ruin occurs in both two lines of business. More... »

PAGES

947-963

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s13160-021-00472-0

DOI

http://dx.doi.org/10.1007/s13160-021-00472-0

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1138786217


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