Some asymptotic results of the ruin probabilities in a two-dimensional renewal risk model with some strongly subexponential claims
Release Time:2019-03-10 Hits:
Indexed by: Journal Article
Date of Publication: 2016-07-01
Journal: STATISTICS & PROBABILITY LETTERS
Included Journals: SSCI、SCIE
Volume: 114
Page Number: 20-29
ISSN: 0167-7152
Key Words: Large deviation; Strongly subexponential class; Generalized risk model; Renewal counting process
Abstract: In this paper, a two-dimensional renewal risk model of insurance business with some strongly subexponential claim sizes is considered. Three types of the finite-time ruin probabilities under this model are discussed. We obtain the asymptotic upper and lower bounds for one type, and the asymptotic formulas for the others, which hold uniformly in a corresponding region, respectively. (C) 2016 Elsevier B.V. All rights reserved.