数学
风险模型
破产论
常量(计算机编程)
独立性(概率论)
利率
数理经济学
更新理论
应用数学
计量经济学
统计
经济
财务
计算机科学
程序设计语言
作者
Jinzhu Li,Haizhong Yang
标识
DOI:10.1016/j.jmaa.2015.01.047
摘要
This paper considers a bidimensional renewal risk model with constant interest rate and dependent regularly varying claims. We assume that the total initial surplus of an insurance company is proportionally allocated to two kinds of insurance businesses. The dependence among claim sizes stems from two aspects: one is that the two kinds of claims share a common renewal claim-number process, and the another one is that each vector of claims follows a general dependence structure given in terms of (survival) copulas containing both asymptotic independence and asymptotic dependence cases. Under certain technical conditions, we derive precise asymptotic formulae for the finite-time and infinite-time ruin probabilities.
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