Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims

Autor:	Xinzhi Wang, Yang Yang, Dongya Cheng
Rok vydání:	2020
Předmět:	010101 applied mathematics Risk model Line of business Applied Mathematics General Engineering Structure (category theory) Applied mathematics Asymptotic independence 010103 numerical & computational mathematics 0101 mathematics Finite time 01 natural sciences Mathematics
Zdroj:	Japan Journal of Industrial and Applied Mathematics. 37:657-675
ISSN:	1868-937X 0916-7005
DOI:	10.1007/s13160-020-00418-y
Popis:	This paper considers a bidimensional continuous-time renewal risk model, in which the two components of each pair of claim sizes are linked via the strongly asymptotic independence structure and the two claim-number processes from different lines of business are (almost) arbitrarily dependent. Precise asymptotic formulas for three kinds of finite-time ruin probabilities are established when the claim sizes have heavy-tailed tails.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::1444cc357e7d128bd09a0c9518512d5c https://doi.org/10.1007/s13160-020-00418-y Zobrazit plný text záznamu Full text from SpringerLink