Asymptotic ruin probabilities for a bidimensional renewal risk model with constant interest rate and dependent claims
Asymptotic ruin probabilities for a bidimensional renewal risk model with constant interest rate and dependent claims
复制标题
具有恒定利率和从属债权的二维更新风险模型的渐近破产概率
DOI：
10.1016/j.jmaa.2015.01.047
复制
发表时间：
2015
影响因子：
1.3
通讯作者：
Haizhong Yang
中科院分区：
文献类型：
--
作者：
Jinzhu Li;Haizhong Yang
本文考虑了一类具有常利率和相依规则变化索赔的二维更新风险模型。我们假设一家保险公司的初始盈余总额按比例分配给两种保险业务。索赔规模之间的相关性源于两个方面：一是这两类索赔共享一个共同的更新索赔数量过程；二是索赔的每个向量都遵循一个以(生存)联结形式给出的一般相关结构，该结构包含渐近独立和渐近相关两种情形。在一定的技术条件下，我们得到了有限时间和无限时间破产概率的精确渐近公式。
This paper considers a bidimensional renewal risk model with constant interest rate and dependent regularly varying claims. We assume that the total initial surplus of an insurance company is proportionally allocated to two kinds of insurance businesses. The dependence among claim sizes stems from two aspects: one is that the two kinds of claims share a common renewal claim-number process, and the another one is that each vector of claims follows a general dependence structure given in terms of (survival) copulas containing both asymptotic independence and asymptotic dependence cases. Under certain technical conditions, we derive precise asymptotic formulae for the finite-time and infinite-time ruin probabilities.