Ruin probabilities of a two-dimensional risk model with dependent risks of heavy tail

This paper considers a two-dimensional discrete time risk model with constant interest rates, and individual net losses in ERV(−α,−β), the class of extended regular variations with indices 0<α≤β<∞. 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.

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Year of publication:	2013
Authors:	Shen, Xinmei ; Zhang, Yi
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 7, p. 1787-1799
Publisher:	Elsevier
Subject:	Ruin probability \| Two-dimensional \| Extended regular variation distributions

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

Persistent link: https://www.econbiz.de/10011040113