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Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments

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  • Fu, Ke-Ang
  • Ng, Cheuk Yin Andrew

Abstract

Consider a two-dimensional renewal risk model, in which the independent and identically distributed claim-size random vectors follow a common bivariate Farlie–Gumbel–Morgenstern distribution. Assuming that the surplus is invested in a portfolio whose return follows a Lévy process and that the claim-size distribution is heavy-tailed, uniformly asymptotic estimates for two kinds of finite-time ruin probabilities of the two-dimensional risk model are obtained.

Suggested Citation

  • Fu, Ke-Ang & Ng, Cheuk Yin Andrew, 2017. "Uniform asymptotics for the ruin probabilities of a two-dimensional renewal risk model with dependent claims and risky investments," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 227-235.
    • Handle: RePEc:eee:stapro:v:125:y:2017:i:c:p:227-235
    DOI: 10.1016/j.spl.2017.02.015
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    2. Edita Kizinevič & Jonas Šiaulys, 2018. "The Exponential Estimate of the Ultimate Ruin Probability for the Non-Homogeneous Renewal Risk Model," Risks, MDPI, vol. 6(1), pages 1-17, March.
    3. Cheng, Ming & Konstantinides, Dimitrios G. & Wang, Dingcheng, 2022. "Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims," Applied Mathematics and Computation, Elsevier, vol. 434(C).

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