A PARTICULAR BIDIMENSIONAL TIME-DEPENDENT RENEWAL RISK MODEL WITH CONSTANT INTEREST RATES. Issue 2 (April 2020)

• Record Type: Journal Article
• Authors: Fu, Ke-Ang; Ni, Chang; Chen, Hao
• Is Part Of: Probability in the engineering and informational sciences. Volume 34:Issue 2(2020)
• Page Start: 172
• Page End: 182
• Publication Date: 2020-04
• Subjects: bidimensional risk model, -- consistent variation, -- proportional reinsurance, -- ruin probability, -- time-dependence; Probabilities -- Periodicals; Engineering -- Statistical methods -- Periodicals; Information science -- Statistical methods -- Periodicals; 519.202462
• DOI: 10.1017/S0269964819000020
• Languages: English
• ISSNs: 0269-9648

Abstract

Abstract: Consider a particular bidimensional risk model, in which two insurance companies divide between them in different proportions both the premium income and the aggregate claims. In practice, it can be interpreted as an insurer–reinsurer scenario, where the reinsurer takes over a proportion of the insurer's losses. Under the assumption that the claim sizes and inter-arrival times form a sequence of independent and identically distributed random pairs, with each pair obeying a dependence structure, an asymptotic expression for the ruin probability of this bidimensional risk model with constant interest rates is established.