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Asymptotics for a Bidimensional Renewal Risk Model with Subexponential Main Claims and Delayed Claims

Author

Listed:
  • Shijie Wang

    (Anhui University)

  • Yueli Yang

    (Anhui University)

  • Yang Liu

    (Hangzhou City University)

  • Lianqiang Yang

    (Anhui University)

Abstract

This paper considers a bidimensional renewal risk model with main claims and delayed claims. Concretely, suppose that an insurance company simultaneously operates two kinds of businesses. Each line of business separately triggers two types of claims. One type is the main claim and the other is the delayed claim occurring a little later than its main claim. Assuming that two kinds of main claims, as well as their corresponding delayed claims, are mutually independent and subexponential, an asymptotic formula for the finite-time ruin probability of this risk model is obtained as the initial surpluses tend to infinity. In addition, some simulation studies are also performed to check the accuracy of the obtained theoretical result.

Suggested Citation

  • 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.
    • Handle: RePEc:spr:metcap:v:25:y:2023:i:3:d:10.1007_s11009-023-10050-1
    DOI: 10.1007/s11009-023-10050-1
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    References listed on IDEAS

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    8. Yang, Haizhong & Li, Jinzhu, 2014. "Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 185-192.
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