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

2020 ◽  
Vol 37 (3) ◽  
pp. 657-675
Author(s):  
Dongya Cheng ◽  
Yang Yang ◽  
Xinzhi Wang
Keyword(s):  
Finite Time ◽  
Risk Model ◽  
Ruin Probabilities ◽  
Renewal Risk Model ◽  
Renewal Risk

scholarly journals Some asymptotic results of the ruin probabilities in a bidimensional renewal risk model with Brownian perturbation

Filomat ◽  
2019 ◽  
Vol 33 (10) ◽  
pp. 3243-3255
Author(s):  
Dawei Lu ◽  
Jiao Du ◽  
Hui Song
Keyword(s):  
Finite Time ◽  
Risk Model ◽  
Size Distribution Function ◽  
Asymptotic Formulas ◽  
Ruin Probabilities ◽  
Asymptotic Results ◽  
Renewal Risk Model ◽  
Claim Size Distribution ◽  
Force Of Interest ◽  
Renewal Risk

In this paper, a bidimensional renewal risk model with constant force of interest and Brownian perturbation is considered. Assuming that the claim-size distribution function is from the subexponential class, three types of the finite-time ruin probabilities under this model are discussed. We obtain the asymptotic formulas for the three types, which hold uniformly for any finite-time horizon.

Asymptotic ruin probabilities for a bidimensional renewal risk model

Stochastics ◽  
2017 ◽  
Vol 89 (5) ◽  
pp. 687-708 ◽  
Author(s):  
Haizhong Yang ◽  
Jinzhu Li
Keyword(s):  
Risk Model ◽  
Ruin Probabilities ◽  
Renewal Risk Model ◽  
Renewal Risk

scholarly journals Uniform Estimate of the Finite-Time Ruin Probability for All Times in a Generalized Compound Renewal Risk Model

2012 ◽  
Vol 2012 ◽  
pp. 1-17 ◽  
Author(s):  
Qingwu Gao ◽  
Na Jin ◽  
Juan Zheng
Keyword(s):  
Finite Time ◽  
Ruin Probability ◽  
Risk Model ◽  
Uniform Estimate ◽  
Random Variables ◽  
Dependence Structure ◽  
Finite Time Ruin Probability ◽  
Renewal Risk Model ◽  
Renewal Risk ◽  
Compound Renewal Risk Model

We discuss the uniformly asymptotic estimate of the finite-time ruin probability for all times in a generalized compound renewal risk model, where the interarrival times of successive accidents and all the claim sizes caused by an accident are two sequences of random variables following a wide dependence structure. This wide dependence structure allows random variables to be either negatively dependent or positively dependent.

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