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Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return.
- Source :
-
Communications in Statistics: Theory & Methods . 2024, Vol. 53 Issue 16, p5773-5784. 12p. - Publication Year :
- 2024
-
Abstract
- We consider a continuous-time two-dimensional risk model, in which the claims from the two lines of insurance businesses satisfy an extensive asymptotic independence structure and the stochastic return is driven by a geometric Lévy process. Under a mild technical condition regarding the Laplace exponent of the Lévy process, we obtain explicit asymptotic expansions for both finite-time and infinite-time ruin probabilities when the claim sizes have regularly varying distributions. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 03610926
- Volume :
- 53
- Issue :
- 16
- Database :
- Academic Search Index
- Journal :
- Communications in Statistics: Theory & Methods
- Publication Type :
- Academic Journal
- Accession number :
- 178089445
- Full Text :
- https://doi.org/10.1080/03610926.2023.2232906