Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims

作者：Konstantinides, Dimitrios G.; Li, Jinzhu^*

来源：Insurance: Mathematics and Economics , 2016, 69: 38-44.

DOI：10.1016/j.insmatheco.2016.04.003

• Asymptotics
• Dependence
• Multidimensional renewal risk model
• Multivariate regular variation
• Ruin probability

This paper studies a continuous-time multidimensional risk model with constant force of interest and dependence structures among random factors involved. The model allows a general dependence among the claim-number processes from different insurance businesses. Moreover, we utilize the framework of multivariate regular variation to describe the dependence and heavy-tailed nature of the claim sizes. Some precise asymptotic expansions are derived for both finite-time and infinite-time ruin probabilities.

• 出版日期2016-7
• 单位南开大学