A Revisit to Asymptotic Ruin Probabilities for a Bidimensional Renewal Risk Model
Author | : Jinzhu Li |
Publisher | : |
Total Pages | : 15 |
Release | : 2017 |
ISBN-10 | : OCLC:1305387831 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book A Revisit to Asymptotic Ruin Probabilities for a Bidimensional Renewal Risk Model written by Jinzhu Li and published by . This book was released on 2017 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recently, Yang and Li (2014, Insurance: Mathematics and Economics) studied a bidimensional renewal risk model with constant force of interest and dependent subexponential claims. Under the special Farlie-Gumbel-Morgenstern dependence structure and a technical moment condition on the claim-number process, they derived an asymptotic expansion for the finite-time ruin probability. In this paper, we show that their result can be extended to a much more general dependence structure without any extra condition on the renewal claim-number process. We also give some asymptotic expansions for the corresponding infinite-time ruin probability within the scope of extended regular variation.