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
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Tail equivalence relationships for ruin probabilities in several risk models
β Scribed by Feng Hu; Chuancun Yin; Zhaojun Zong
- Publisher
- John Wiley and Sons
- Year
- 2005
- Tongue
- English
- Weight
- 115 KB
- Volume
- 21
- Category
- Article
- ISSN
- 1524-1904
- DOI
- 10.1002/asmb.601
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## Abstract In this article, we consider two discreteβtime risk models, in which dependent structures of the payments and the interest force are considered. Two autoregressive movingβaverage (ARMA) models are introduced to model the premiums and rates of interest, and the claims are assumed to be i
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