Asymptotic ruin probabilities of a two-dimensional renewal risk model with dependent inter-arrival times. Issue 7 (2nd April 2020)

• Record Type: Journal Article
• Authors: Cheng, Dongya; Yu, Changjun
• Is Part Of: Communications in statistics. Volume 49:Issue 7(2020)
• Page Start: 1742
• Page End: 1760
• Publication Date: 2020-04-02
• Subjects: Two-dimensional renewal risk model -- heavy-tailed distributions -- finite-time ruin probabilities -- uniform asymptotics; Primary 62P05 -- Secondary 62E10; Mathematical statistics -- Periodicals; Mathematics; Statistics; 519.2
• DOI: 10.1080/03610926.2019.1565782
• Languages: English
• ISSNs: 0361-0926

Abstract

Abstract: This article mainly considers the uniform asymptotics for the finite-time ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims. In this model, the two claim-number processes are arbitrarily dependent and each of them is generated by widely orthant dependent claim inter-arrival times. Two types of ruin are studied and for each type of ruin, an asymptotic formula for the finite-time ruin probability is established. These formulae possess a certain uniformity feature in the time horizon.