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Indexed by:期刊论文

Date of Publication:2016-07-01

Journal:STATISTICS & PROBABILITY LETTERS

Included Journals:SCIE、SSCI

Volume:114

Page Number:20-29

ISSN No.: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.