Abstract
Consider a two-dimensional risk model, in which two insurance companies divide between them the claims in some specified proportions. Suppose that the claim sizes and inter-arrival times form a sequence of independent and identically distributed random pairs, with each pair obeying a dependence structure, and the surpluses of the two companies are invested into portfolios whose returns follow two different geometric Lévy processes. When the claim-size distribution is extended-regularly-varying tailed, asymptotic expressions for the ruin probability of this two-dimensional risk model are exhibited. Some numerical results are also presented to illustrate the accuracy of our asymptotic formulae.
Original language | English |
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Pages (from-to) | 367-380 |
Number of pages | 14 |
Journal | Journal of Computational and Applied Mathematics |
Volume | 344 |
DOIs | |
Publication status | Published - 15 Dec 2018 |
Externally published | Yes |
Keywords
- Extended regular variation
- Lévy process
- Ruin probability
- Time-dependent risk model