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Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims

MAP20140037230
Yang, Haizhong
Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims / Haizhong Yang, Jinzhu Li
Sumario: This paper considers a bidimensional renewal risk model with constant interest force and dependent subexponential claims. Under the assumption that the claim size vectors form a sequence of independent and identically distributed random vectors following a common bivariate FarlieGumbelMorgenstern distribution, we derive for the finite-time ruin probability an explicit asymptotic formula
En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 01/09/2014 Volumen 58 Número 1 - septiembre 2014
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