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Asymptotic ruin probabilities of the renewalmodel with constant interest force and dependent heavy-tailed claims

โœ Scribed by Jin-zhu Li; Rong Wu


Publisher
Institute of Applied Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society
Year
2011
Tongue
English
Weight
222 KB
Volume
27
Category
Article
ISSN
0168-9673

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Asymptotics for the ruin probabilities o
โœ Yiqing Chen; Kam C. Yuen; Kai W. Ng ๐Ÿ“‚ Article ๐Ÿ“… 2010 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 147 KB ๐Ÿ‘ 2 views

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 ty