Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims

DOI10.1016/J.JMAA.2016.04.068MaRDI QIDQ294114zbMATH OpenOpenAlexFDO

Authors Yang Yang, Kam Chuen Yuen

Publication date 9 June 2016

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2016.04.068

zbMATH Keywords

asymptoticsbivariate Sarmanov dependenceextended regular variationfinite-time and infinite-time ruin probabilitiessubexponentialitytwo-dimensional delayed renewal risk model

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cites work

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• The finite-time ruin probability of the compound Poisson model with constant interest force
• The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
• Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models
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Cited in

(19)

• Asymptotic ruin probabilities for a two-dimensional risk model with dependent claims and stochastic return
• Asymptotic ruin probabilities of a two-dimensional renewal risk model with dependent inter-arrival times
• Uniform asymptotics for the finite-time ruin probability of a generalized bidimensional risk model with Brownian perturbations
• Asymptotics for ultimate ruin probability in a by-claim risk model
• The limit theorems for function of Markov chains in the environment of single infinite Markovian systems
• Asymptotic sum-ruin probability for a bidimensional risk model with common shock dependence
• Asymptotic behavior of ruin probabilities in an insurance risk model with quasi-asymptotically independent or bivariate regularly varying-tailed main claim and by-claim
• Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims
• Uniform asymptotics for finite-time ruin probability of a bidimensional risk model
• Asymptotics for sum-ruin probabilities of a bidimensional risk model with heavy-tailed claims and stochastic returns
• Asymptotics for a bidimensional renewal risk model with subexponential main claims and delayed claims
• Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims
• Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims
• Asymptotic behavior for finite-time ruin probabilities in a generalized bidimensional risk model with subexponential claims
• Asymptotics for a bidimensional risk model with two geometric Lévy price processes
• Ruin problems of multidimensional risk models under constant interest rates and dependent risks with heavy tails
• Uniform asymptotics for ruin probabilities of a time-dependent bidimensional renewal risk model with dependent subexponential claims
• Asymptotic sum-ruin probability for a bidimensional renewal risk model with subexponential claims
• Locally and globally uniform approximations for ruin probabilities of a nonstandard bidimensional risk model with subexponential claims

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