Some asymptotic results of the ruin probabilities in a two-dimensional renewal risk model with some strongly subexponential claims

2016 ◽  
Vol 114 ◽  
pp. 20-29 ◽  
Author(s):  
Dawei Lu ◽  
Bin Zhang
Keyword(s):  
Risk Model ◽  
Ruin Probabilities ◽  
Two Dimensional ◽  
Asymptotic Results ◽  
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
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