Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims

This paper considers a bidimensional renewal risk model with constant interest force and dependent subexponential claims. Under the assumption that the claim size vectors form a sequence of independent and identically distributed random vectors following a common bivariate Farlie–Gumbel–Morgenstern distribution, we derive for the finite-time ruin probability an explicit asymptotic formula.

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Year of publication:	2014
Authors:	Yang, Haizhong ; Li, Jinzhu
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 58.2014, C, p. 185-192
Publisher:	Elsevier
Subject:	Asymptotics \| Bidimensional renewal risk model \| Farlie–Gumbel–Morgenstern distribution \| Ruin probability \| Subexponentiality

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010930906