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Indexed by:期刊论文

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.