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Uniform asymptotics for ruin probabilities of a time-dependent bidimensional renewal risk model with dependent subexponential claims.
- Source :
- Stochastics: An International Journal of Probability & Stochastic Processes; Nov2023, Vol. 95 Issue 7, p1147-1169, 23p
- Publication Year :
- 2023
-
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]
- Subjects :
- PROBABILITY theory
MATHEMATICS
POISSON processes
Subjects
Details
- Language :
- English
- ISSN :
- 17442508
- Volume :
- 95
- Issue :
- 7
- Database :
- Complementary Index
- Journal :
- Stochastics: An International Journal of Probability & Stochastic Processes
- Publication Type :
- Academic Journal
- Accession number :
- 170717547
- Full Text :
- https://doi.org/10.1080/17442508.2023.2165397