The infinite-time ruin probability for a bidimensional renewal risk model with constant force of interest and dependent claims |
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Authors: | Jinzhu Li |
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Affiliation: | School of Mathematical Science and LPMC, Nankai University, Tianjin, P.R. China |
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Abstract: | This article studies a continuous-time bidimensional risk model, in which an insurer simultaneously confronts two kinds of claim sharing a common renewal claim-number process. Under the assumption that the claim size vectors form a sequence of independent and identically distributed random vectors following a common bivariate Farlie–Gumbel–Morgenstern distribution with extended regularly varying margins, we derive an explicit asymptotic formula for the corresponding infinite-time ruin probability. |
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Keywords: | Asymptotics Bidimensional renewal risk model Frlie–Gumbel–Morgenstern distribution Ruin probability Extended regular variation |
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