Asymptotics for the ruin probabilities of a two‐dimensional renewal risk model with heavy‐tailed claims |
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| Authors: | Yiqing Chen Kam C. Yuen Kai W. Ng |
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| Affiliation: | 1. Department of Mathematical Sciences, the University of Liverpool, Liverpool L69 7ZL, U.K.;2. Department of Statistics and Actuarial Science, The University of Hong Kong, Hong Kong |
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| Abstract: | In this paper, we consider two dependent classes of insurance business with heavy‐tailed claims. The dependence comes from the assumption that claim arrivals of the two classes are governed by a common renewal counting process. We study two types of ruin in the two‐dimensional framework. For each type of ruin, we establish an asymptotic formula for the finite‐time ruin probability. These formulae possess a certain uniformity feature in the time horizon. Copyright © 2010 John Wiley & Sons, Ltd. |
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| Keywords: | asymptotics heavy tail finite‐time ruin probability renewal process two‐dimensional risk model uniformity |
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