Asymptotic ruin probabilities for a bidimensional risk model with heavy-tailed claims and non-stationary arrivals. Issue 24 (17th December 2019)

• Record Type: Journal Article
• Authors: Fu, Ke-Ang; Li, Jie
• Is Part Of: Communications in statistics. Volume 48:Issue 24(2019)
• Page Start: 6169
• Page End: 6178
• Publication Date: 2019-12-17
• Subjects: Bidimensional risk model -- consistent variation -- Hawkes process -- non-stationary arrival process -- ruin probability; Primary 62P05 -- Secondary 62E20 -- 60F10; Mathematical statistics -- Periodicals; Mathematics; Statistics; 519.2
• DOI: 10.1080/03610926.2018.1529242
• Languages: English
• ISSNs: 0361-0926

Abstract

Abstract: This article studies a bidimensional risk model, in which an insurer simultaneously confronts two kinds of claims sharing a common non-stationary arrival process. Assuming that the arrival process satisfies a large deviation principle and the claim-size distributions are heavy tailed, an asymptotic formula for the corresponding ruin probability of this bidimensional risk model is obtained.