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Asymptotic ruin probabilities for a bidimensional risk model with heavy-tailed claims and non-stationary arrivals

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  • Ke-Ang Fu
  • Jie Li

Abstract

This article studies a bidimensional risk model, in which an insurer simultaneously confronts two kinds of claims sharing a common non-stationary arrival process. Assuming that the arrival process satisfies a large deviation principle and the claim-size distributions are heavy tailed, an asymptotic formula for the corresponding ruin probability of this bidimensional risk model is obtained.

Suggested Citation

  • Ke-Ang Fu & Jie Li, 2019. "Asymptotic ruin probabilities for a bidimensional risk model with heavy-tailed claims and non-stationary arrivals," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 48(24), pages 6169-6178, December.
    • Handle: RePEc:taf:lstaxx:v:48:y:2019:i:24:p:6169-6178
    DOI: 10.1080/03610926.2018.1529242
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