Asymptotics for absolute ruin probabilities of a dependent bidimensional risk model with subexponential claims
Abstract
This paper considers a continuous-time bidimensional risk model with a constant interest force, where there exist dependence structures among the claim sizes of two business lines and the inter-arrival times of the claim sizes. When the claim sizes have subexponential distributions, some uniform asymptotics for the finite-time absolute ruin probabilities of the bidimensional risk model are established.
Fields of Study & Subjects
Probability and Risk Models
Probability and Statistical Research
Insurance and Financial Risk Management
Publication details
- Journal / source
- ESAIM Probability and Statistics
- Volume
- 30
- Pages
- 162–191
- Publication date
- 1 January 2026