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Ruin probabilities of a two-dimensional risk model with dependent risks of heavy tail

โœ Scribed by Shen, Xinmei; Zhang, Yi


Book ID
123163117
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
420 KB
Volume
83
Category
Article
ISSN
0167-7152

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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