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Ruin probability of the renewal model with risky investment and large claims

โœ Scribed by Li Wei

Book ID
107347958
Publisher
SP Science China Press
Year
2009
Tongue
English
Weight
180 KB
Volume
52
Category
Article
ISSN
1674-7283

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