Release Time:2019-03-09  Hits:

Indexed by: Journal Article

Date of Publication: 2013-07-01

Journal: STATISTICS & PROBABILITY LETTERS

Included Journals: Scopus、SCIE

Volume: 83

Issue: 7

Page Number: 1787-1799

ISSN: 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.