Uniform asymptotics for the ruin probabilities in a bidimensional renewal risk model with strongly subexponential claims. Issue 5 (4th July 2019)

• Record Type: Journal Article
• Authors: Cheng, Dongya; Yu, Changjun
• Is Part Of: Stochastics. Volume 91:Issue 5(2019)
• Page Start: 643
• Page End: 656
• Publication Date: 2019-07-04
• Subjects: Bidimensional renewal risk model -- heavy-tailed distributions -- finite-time ruin probabilities -- uniform asymptotics; Primary: 62P05 -- Secondary: 62E20; Stochastic processes -- Periodicals; Probabilities -- Periodicals; 519.2
• DOI: 10.1080/17442508.2018.1539088
• Languages: English
• ISSNs: 1744-2508

Abstract

ABSTRACT: This paper considers a bidimensional continuous-time renewal risk model of insurance business with different claim-number processes and strongly subexponential claims. For the finite-time ruin probability defined as the probability for the aggregate surplus process to break down the horizontal line at the level zero within a given time, an uniform asymptotic formula is established, which provides new insights into the solvency ability of the insurance company.