Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
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DOI：
10.1002/asmb.834
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发表时间：
2011-05
影响因子：
1.4
通讯作者：
Yiqing Chen;K. Yuen;K. Ng
中科院分区：
文献类型：
--
作者：
Yiqing Chen;K. Yuen;K. Ng
本文考虑两类具有重尾索赔的保险业务。这种依赖性来自这样一个假设，即两个类别的索赔到达由一个共同的续期计数过程管理。我们在二维框架中研究了两种类型的废墟。对于每种类型的破产，我们建立了有限时间破产概率的渐近公式。这些公式在时间范围内具有一定的均匀性。版权所有©2010 John Wiley & Sons， Ltd
In this paper, we consider two dependent classes of insurance business with heavy-tailed claims. The dependence comes from the assumption that claim arrivals of the two classes are governed by a common renewal counting process. We study two types of ruin in the two-dimensional framework. For each type of ruin, we establish an asymptotic formula for the finite-time ruin probability. These formulae possess a certain uniformity feature in the time horizon. Copyright © 2010 John Wiley & Sons, Ltd.