Uniform asymptotics for ruin probability of a two-dimensional dependent renewal risk model

作者：Liu, Xijun; Gao, Qingwu^*; Guo, Ermin

来源：Communications in Statistics - Theory and Methods, 2016, 45(20): 6045-6060.

DOI：10.1080/03610926.2014.955117

• Dependence
• Ruin probability
• Two-dimensional risk model
• Uniform asymptotics
• 62P05
• 62E20
• 60E05

In this paper we consider the tail behavior of a two-dimensional dependent renewal risk model with two dependent classes of insurance business, in which the claim sizes are governed by a common renewal counting process, and their inter-arrival times are dependent, identically distributed. For the case that the claim size distribution belongs to the intersection of long-tailed distribution class and dominant variation class, we obtain an asymptotic formula, which holds uniformly for all time in an infinite interval. Moreover, we point out that the formula still holds uniformly for all time in an infinite interval for widely dependent random variables (r.v.s) under some conditions.

• 出版日期2016
• 单位中国人民解放军空军第一航空学院; 南京审计大学; 南京大学