Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models
type: Item
instance of: scholarly article
title: Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models
zbMATH Open document ID: 1266.91032
author: Yang Chen
author: Le Wang
author: Yuebao Wang
published in: Journal of Mathematical Analysis and Applications
publication date: 2013-03-12T00:00:00Z
review text: In this paper the authors try to obtain uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional renewal risk models with constant interest forces and diffusion generated by Brownian motions. In both model, two classes of claim sizes are both upper tail asymptotically independent and their distributions belong to the intersection of the long-tailed distribution class and the dominatedly-varying-tailed distribution class, and the inter-arrival times follow a widely lower orthant dependence structure. In each model, the authors obtain three kinds of uniform asymptotics for the finite-time ruin probabilities, respectively.
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91B74
zbMATH DE Number: 6143652
zbMATH Keywords: Finite-time ruin probability
zbMATH Keywords: bidimensional risk model
zbMATH Keywords: uniform asymptotics
reviewed by: N. G. Gamkrelidze
MaRDI profile type: Publication
full work available at URL: j.jmaa.2012.11.046
OpenAlex ID: W2061945704
DOI: 10.1016/J.JMAA.2012.11.046
description: scientific article; zbMATH DE number 6143652