Asymptotic Results for Ruin Probability of a Two-Dimensional Renewal Risk Model |
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Authors: | Yang Chen Kaiyong Wang |
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Institution: | 1. School of Mathematical Sciences , Soochow University , Suzhou , P. R. China;2. School of Mathematics and Physics , Suzhou University of Science and Technology , Suzhou , P. R. China;3. School of Mathematics and Physics , Suzhou University of Science and Technology , Suzhou , P. R. China |
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Abstract: | In this article, some asymptotic formulas of the finite-time ruin probability for a two-dimensional renewal risk model are obtained. In the model, the distributions of two claim amounts belong to the intersection of the long-tailed distributions class and the dominated varying distributions class and the claim arrival-times are extended negatively dependence structures. Assumption that the claim arrivals of two classes are governed by a common renewal counting process. The asymptotic formulas hold uniformly for t ∈ f(x), ∞), where f(x) is an infinitely increasing function. |
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Keywords: | Asymptotics Extended negatively orthant dependent Finite-time ruin probability Heavy-tailed claim Two-dimensional renewal risk model |
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