1. Uniform asymptotics for ruin probabilities of a time-dependent bidimensional renewal risk model with dependent subexponential claims.
- Author
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Liu, Zaiming, Geng, Bingzhen, Man, Xinyue, and Liu, Xinyu
- Subjects
PROBABILITY theory ,MATHEMATICS ,POISSON processes - Abstract
This paper considers a continuous-time bidimensional renewal risk model with subexponential claims. In this model, the claim size vectors and their inter-arrival times form a sequence of independent and identically distributed random vectors following some general dependence structures introduced by [T. Jiang, Y. Wang, Y. Chen and H. Xu, Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model, Insur. Math. Econom. 64 (2015), pp. 45–53.]. We not only extend the results of [T. Jiang, Y. Wang, Y. Chen and H. Xu, Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model, Insur. Math. Econom. 64 (2015), pp. 45–53.] under some weak conditions, but we also obtain an asymptotic estimate of the finite-time sum-ruin probability. Furthermore, when the distributions of claim sizes have nonzero lower Karamata indices, some explicit asymptotic formulas are established for the infinite-time ruin probabilities. [ABSTRACT FROM AUTHOR]
- Published
- 2023
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