Ruin probabilities of small noise jump-diffusions with heavy tails

Asymptotics for the ruin probabilities o

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

✍ Yiqing Chen; Kam C. Yuen; Kai W. Ng 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 147 KB 👁 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