Asymptotic ruin probabilities of a two-dimensional renewal risk model with dependent inter-arrival times |
| |
Authors: | Dongya Cheng |
| |
Institution: | 1. School of Mathematical Sciences, Soochow University, Suzhou, China;2. The Statistics and Operations Research Department, The University of North Carolina, Chapel Hill, NC, USA |
| |
Abstract: | AbstractThis article mainly considers the uniform asymptotics for the finite-time ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims. In this model, the two claim-number processes are arbitrarily dependent and each of them is generated by widely orthant dependent claim inter-arrival times. Two types of ruin are studied and for each type of ruin, an asymptotic formula for the finite-time ruin probability is established. These formulae possess a certain uniformity feature in the time horizon. |
| |
Keywords: | Two-dimensional renewal risk model heavy-tailed distributions finite-time ruin probabilities uniform asymptotics |
|
|