Stochastics ( IF 0.8 ) Pub Date : 2020-11-17 , DOI: 10.1080/17442508.2020.1844706 Huimin Sun 1 , Bingzhen Geng 2 , Shijie Wang 1
In this paper, we consider a bidimensional continuous-time renewal risk model with common shock claim-arrival processes. When both two lines of claim sizes are assumed to be strongly subexponential, a uniformly asymptotic formula for sum-ruin probability within finite time t is established. The obtained result extends the one in Cheng and Yu [Uniform asymptotics for the ruin probabilities in a bidimensional renewal risk model with strongly subexponential claims, Stochastics 91(5) (2019), pp. 643–656].
中文翻译:
具有共同冲击相关性的二维风险模型的渐近和毁概率
在本文中,我们考虑具有常见冲击索赔-到达过程的二维连续时间更新风险模型。当假设两条索赔规模线都为强次指数时,则建立了有限时间t内和-毁概率的一致渐近公式。所获得的结果扩展了 Cheng 和 Yu 的 [ Uniform asymptotics for the Suder probabilities in a bidimensional recovery risk model with strong subexponential claim , Stochastics 91(5) (2019), pp. 643–656]。