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Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims

✍ Scribed by Yiqing Chen; Kam C. Yuen; Kai W. Ng

Publisher: John Wiley and Sons
Year: 2010
Tongue: English
Weight: 147 KB
Volume: 27
Category: Article
ISSN: 1524-1904
DOI: 10.1002/asmb.834

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✦ Synopsis

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.

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