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Asymptotic Results for Ruin Probability of a Two-Dimensional Renewal Risk Model
Authors:Yang Chen  Kaiyong Wang
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
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.
Keywords:Asymptotics  Extended negatively orthant dependent  Finite-time ruin probability  Heavy-tailed claim  Two-dimensional renewal risk model
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