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Uniform asymptotics for ruin probabilities of a non standard bidimensional perturbed risk model with subexponential claims

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  • Shijie Wang
  • Huan Qian
  • Huimin Sun
  • Bingzhen Geng

Abstract

In this paper, we consider three types of finite-time ruin probabilities for a non standard bidimensional risk model perturbed by diffusion. In this model, it is assumed that the two claim-arrival processes are general counting processes and arbitrarily dependent. Moreover, the two classes of claim sizes are dependent according to a certain structure proposed in Ko and Tang (Journal of Applied Probability 45:5–95, 2008). When the claim sizes are assumed to be subexponential, we derive three uniformly asymptotic formulas for finite-time ruin probabilities over a finite interval of time horizon. The obtained results extend some existing ones in the literature.

Suggested Citation

  • Shijie Wang & Huan Qian & Huimin Sun & Bingzhen Geng, 2021. "Uniform asymptotics for ruin probabilities of a non standard bidimensional perturbed risk model with subexponential claims," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 51(22), pages 7871-7884, September.
    • Handle: RePEc:taf:lstaxx:v:51:y:2021:i:22:p:7871-7884
    DOI: 10.1080/03610926.2021.1882496
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