Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims

DOI10.1016/j.jmaa.2016.04.068zbMath1382.91048OpenAlexW2345860685MaRDI QIDQ294114

Yang Yang, Kam-Chuen Yuen

Publication date: 9 June 2016

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2016.04.068

zbMATH Keywords

asymptoticsextended regular variationbivariate Sarmanov dependencefinite-time and infinite-time ruin probabilitiessubexponentialitytwo-dimensional delayed renewal risk model

Mathematics Subject Classification ID

Related Items (14)

Asymptotic ruin probabilities of a two-dimensional renewal risk model with dependent inter-arrival times ⋮ Asymptotic behavior of ruin probabilities in an insurance risk model with quasi-asymptotically independent or bivariate regularly varying-tailed main claim and by-claim ⋮ Uniform asymptotics for the finite-time ruin probability of a generalized bidimensional risk model with Brownian perturbations ⋮ Asymptotic sum-ruin probability for a bidimensional risk model with common shock dependence ⋮ Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims ⋮ Uniform asymptotics for ruin probabilities of a time-dependent bidimensional renewal risk model with dependent subexponential claims ⋮ Asymptotic sum-ruin probability for a bidimensional renewal risk model with subexponential claims ⋮ Asymptotics for a bidimensional renewal risk model with subexponential main claims and delayed claims ⋮ Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims ⋮ Asymptotic behavior for finite-time ruin probabilities in a generalized bidimensional risk model with subexponential claims ⋮ Uniform asymptotics for finite-time ruin probability of a bidimensional risk model ⋮ Asymptotics for a bidimensional risk model with two geometric Lévy price processes ⋮ Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims ⋮ Asymptotics for ultimate ruin probability in a by-claim risk model

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