Abstract

This article considers a bidimensional continuous-time renewal risk model with a constant interest force, in which the claim sizes from the same business line are dependent following a general dependence structure proposed by Ko and Tang (2008 Ko, B., and Q. Tang. 2008. Sums of dependent nonnegative random variables with subexponential tail. Journal of Applied Probability 45:5–95.[Crossref], [Web of Science ®] , [Google Scholar]) and each pair of inter-arrival times of the two kinds of insurance claims are arbitrarily dependent. In the presence of subexponential claim sizes, the corresponding asymptotic formula for the finite-time sum-ruin probability is established.

摘要

本文考虑了一个具有恒定利率的二维连续时间更新风险模型，其中来自同一业务线的索赔规模是依赖于 Ko 和 Tang 提出的一般依赖结构（2008 年） Ko, B.和Q. Tang。2008 年。具有次指数尾部的相关非负随机变量的总和。应用概率杂志 45：5 – 95。[Crossref], [Web of Science®]  , [Google Scholar] ) 和每对两种保险理赔的到达时间间隔是任意相关的。在存在次指数索赔规模的情况下，建立了相应的有限时间总和破产概率的渐近公式。