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The ruin probability of the renewal model with constant interest force and upper-tailed independent heavy-tailed claims

✍ Scribed by Xin Mei Shen; Zheng Yan Lin

Publisher
Institute of Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society
Year
2010
Tongue
English
Weight
231 KB
Volume
26
Category
Article
ISSN
1439-7617

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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
✍ Yiqing Chen; Kam C. Yuen; Kai W. Ng πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 147 KB πŸ‘ 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