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A revisit to asymptotic ruin probabilities for a bidimensional renewal risk model

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  • Li, Jinzhu

Abstract

Recently, Yang and Li (2014) studied a bidimensional renewal risk model with constant force of interest and dependent subexponential claims. Under the special Farlie–Gumbel–Morgenstern dependence structure and a technical moment condition on the claim-number process, they derived an asymptotic expansion for the finite-time ruin probability. In this paper, we show that their result can be extended to a much more general dependence structure without any extra condition on the renewal claim-number process. We also give some asymptotic expansions for the corresponding infinite-time ruin probability within the scope of extended regular variation.

Suggested Citation

  • Li, Jinzhu, 2018. "A revisit to asymptotic ruin probabilities for a bidimensional renewal risk model," Statistics & Probability Letters, Elsevier, vol. 140(C), pages 23-32.
    • Handle: RePEc:eee:stapro:v:140:y:2018:i:c:p:23-32
    DOI: 10.1016/j.spl.2018.04.003
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    Cited by:

    1. Shijie Wang & Yueli Yang & Yang Liu & Lianqiang Yang, 2023. "Asymptotics for a Bidimensional Renewal Risk Model with Subexponential Main Claims and Delayed Claims," Methodology and Computing in Applied Probability, Springer, vol. 25(3), pages 1-13, September.

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