Some asymptotic results of the ruin probabilities in a two-dimensional renewal risk model with some strongly subexponential claims

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• 作者：Dawei Lu ; ^{ludawei_dlut@163.com" class="auth_mail" title="E-mail the corresponding author} ; Bin Zhang ^{bbpanda@aliyun.com" class="auth_mail" title="E-mail the corresponding author}
• 关键词：91B30 ; 62E20 ; 60K05
• 刊名：Statistics & Probability Letters
• 出版年：2016
• 出版时间：July 2016
• 年：2016
• 卷：114
• 期：Complete
• 页码：20-29
• 全文大小：383 K

文摘

In this paper, a two-dimensional renewal risk model of insurance business with some strongly subexponential claim sizes is considered. Three types of the finite-time ruin probabilities under this model are discussed. We obtain the asymptotic upper and lower bounds for one type, and the asymptotic formulas for the others, which hold uniformly in a corresponding region, respectively.