Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5129831 | Statistics & Probability Letters | 2017 | 9 Pages |
Abstract
Consider a two-dimensional renewal risk model, in which the independent and identically distributed claim-size random vectors follow a common bivariate Farlie-Gumbel-Morgenstern distribution. Assuming that the surplus is invested in a portfolio whose return follows a Lévy process and that the claim-size distribution is heavy-tailed, uniformly asymptotic estimates for two kinds of finite-time ruin probabilities of the two-dimensional risk model are obtained.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Ke-Ang Fu, Cheuk Yin Andrew Ng,