Asymptotic sum-ruin probability for a bidimensional renewal risk model with subexponential claims. Issue 7 (3rd April 2023)

• Record Type: Journal Article
• Authors: Sun, Huimin; Geng, Bingzhen; Wang, Shijie
• Is Part Of: Communications in statistics. Volume 52:Issue 7(2023)
• Page Start: 2057
• Page End: 2071
• Publication Date: 2023-04-03
• Subjects: Bidimensional renewal risk model -- sum-ruin probability -- subexponential distribution -- asymptotic; 62P05 -- 62E20; Mathematical statistics -- Periodicals; Mathematics; Statistics; 519.2
• DOI: 10.1080/03610926.2021.1944215
• Languages: English
• ISSNs: 0361-0926

Abstract

Abstract: This article considers a bidimensional continuous-time renewal risk model with a constant interest force, in which the claim sizes from the same business line are dependent following a general dependence structure proposed by Ko and Tang (2008 ) and each pair of inter-arrival times of the two kinds of insurance claims are arbitrarily dependent. In the presence of subexponential claim sizes, the corresponding asymptotic formula for the finite-time sum-ruin probability is established.