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Indexed by:期刊论文
First Author:Shen, Xinmei
Correspondence Author:Zhang, Y (reprint author), Zhejiang Univ, Dept Math, Hangzhou 310027, Peoples R China.
Co-author:Zhang, Yi
Date of Publication:2013-07-01
Journal:STATISTICS & PROBABILITY LETTERS
Included Journals:SCIE、Scopus
Volume:83
Issue:7
Page Number:1787-1799
ISSN No.:0167-7152
Key Words:Ruin probability; Two-dimensional; Extended regular variation distributions
Abstract:This paper considers a two-dimensional discrete time risk model with constant interest rates, and individual net losses in ERV (-alpha, -beta), the class of extended regular variations with indices 0 < alpha <= beta < infinity. Some asymptotic results for both finite-time and infinite-time ruin probabilities under two types of ruin times are established. The two components of net losses are allowed to be generally dependent. (c) 2013 Published by Elsevier B.V.