Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
11010159 | Journal of Mathematical Analysis and Applications | 2019 | 12 Pages |
Abstract
Consider a continuous-time bidimensional risk model with constant force of interest in which the claim sizes from the same business are heavy-tailed and upper tail asymptotically independent. We investigate two cases: one is that the two claim-number processes are arbitrarily dependent, and the other is that the two corresponding claim inter-arrival times from different lines are positively quadrant dependent. Some uniformly asymptotic formulas for finite-time ruin probability are established.
Related Topics
Physical Sciences and Engineering
Mathematics
Analysis
Authors
Yang Chen, Yang Yang, Tao Jiang,