Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims

被引：21
|
作者：
Konstantinides, Dimitrios G. [1 ]
Li, Jinzhu [2 ,3 ]
机构：
[1] Univ Aegean, Dept Math, Karlovassi, Greece
[2] Nankai Univ, Sch Math Sci, Tianjin 300071, Peoples R China
[3] Nankai Univ, LPMC, Tianjin 300071, Peoples R China
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2016年 / 69卷
基金：
中国国家自然科学基金;
关键词：
Asymptotics; Dependence; Multidimensional renewal risk model; Multivariate regular variation; Ruin probability; HEAVY-TAILED CLAIMS;
D O I：
10.1016/j.insmatheco.2016.04.003
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper studies a continuous-time multidimensional risk model with constant force of interest and dependence structures among random factors involved. The model allows a general dependence among the claim-number processes from different insurance businesses. Moreover, we utilize the framework of multivariate regular variation to describe the dependence and heavy-tailed nature of the claim sizes. Some precise asymptotic expansions are derived for both finite-time and infinite-time ruin probabilities. (C) 2016 Elsevier B.V. All rights reserved.
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页码：38 / 44
页数：7
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