Article ID Journal Published Year Pages File Type
11010159 Journal of Mathematical Analysis and Applications 2019 12 Pages PDF
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
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