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Asymptotic ruin probabilities of a two-dimensional renewal risk model with dependent inter-arrival times

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  • Dongya Cheng
  • Changjun Yu

Abstract

This article mainly considers the uniform asymptotics for the finite-time ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims. In this model, the two claim-number processes are arbitrarily dependent and each of them is generated by widely orthant dependent claim inter-arrival times. Two types of ruin are studied and for each type of ruin, an asymptotic formula for the finite-time ruin probability is established. These formulae possess a certain uniformity feature in the time horizon.

Suggested Citation

  • Dongya Cheng & Changjun Yu, 2020. "Asymptotic ruin probabilities of a two-dimensional renewal risk model with dependent inter-arrival times," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 49(7), pages 1742-1760, April.
    • Handle: RePEc:taf:lstaxx:v:49:y:2020:i:7:p:1742-1760
    DOI: 10.1080/03610926.2019.1565782
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