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论文类型：期刊论文

发表时间：2016-07-01

发表刊物：STATISTICS & PROBABILITY LETTERS

收录刊物：SCIE、SSCI

卷号：114

页面范围：20-29

ISSN号：0167-7152

关键字：Large deviation; Strongly subexponential class; Generalized risk model; Renewal counting process

摘要：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.