Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims View Full Text


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Article Info

DATE

2021-10-07

AUTHORS

Bingjie Wang, Jigao Yan, Dongya Cheng

ABSTRACT

The paper studies asymptotic infinite-time ruin probabilities for a bidimensional time-dependent risk model, in which two insurance companies divide between them both the premium income and the aggregate claims in different positive proportions (modeling an insurer–reinsurer scenario, where the reinsurer takes over a proportion of the insurer’s losses). In the model, the claim sizes and the inter-arrival times correspondingly form a sequence of independent and identically distributed random vectors, where each pair of the vectors follows the time-dependence structure. Under the assumption that the claim sizes have consistently varying tails, asymptotic formulas for two kinds of infinite-time ruin probabilities are derived. More... »

PAGES

1-18

References to SciGraph publications

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s13160-021-00487-7

DOI

http://dx.doi.org/10.1007/s13160-021-00487-7

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1141715011


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