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Asymptotics for the ruin probability of a bidimensional renewal risk model with dependent main claims and delayed claims

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  • Jia, Yiqiao
  • Jiang, Mingyu
  • Cheng, Dongya

Abstract

This paper considers a bidimensional renewal risk model incorporating the dependent main claims and delayed claims, where both the main claims and delayed claims are long-tailed and dominatedly-varying-tailed. It is assumed that both the main claim pairs and the corresponding delayed claim pairs follow the strongly asymptotic independence structure. For this model, a precise asymptotic formula for the finite-time ruin probability is established when the initial surpluses tend to infinity, thereby extending some recent findings in the literature.

Suggested Citation

  • Jia, Yiqiao & Jiang, Mingyu & Cheng, Dongya, 2025. "Asymptotics for the ruin probability of a bidimensional renewal risk model with dependent main claims and delayed claims," Statistics & Probability Letters, Elsevier, vol. 226(C).
    • Handle: RePEc:eee:stapro:v:226:y:2025:i:c:s0167715225001464
    DOI: 10.1016/j.spl.2025.110501
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    References listed on IDEAS

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