Asymptotic behavior for finite-time ruin probabilities in a generalized bidimensional risk model with subexponential claims

Autor:	Fengyang Cheng, Zhangting Chen, Dongya Cheng
Rok vydání:	2021
Předmět:	Risk model Mathematics::Probability Line of business Applied Mathematics General Engineering Structure (category theory) Applied mathematics Finite time Brownian motion Mathematics
Zdroj:	Japan Journal of Industrial and Applied Mathematics. 38:947-963
ISSN:	1868-937X 0916-7005
DOI:	10.1007/s13160-021-00472-0
Popis:	Consider a generalized bidimensional continuous-time risk model with heavy-tailed claims and Brownian perturbations, in which the claim sizes from each line of business are dependent according to the dependence structure first proposed by [12] and later generalized by [21], while the claim-number processes from different lines of business are almost arbitrarily dependent. Under the assumption that the claim sizes have subexponential distributions, some asymptotic formulae are established for the finite-time ruin probabilities defined as the probabilities that ruin occurs in both two lines of business.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::51531f4d3f0cc1f9ca0fe33507d3c70b https://doi.org/10.1007/s13160-021-00472-0 Zobrazit plný text záznamu Full text from SpringerLink