Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns

In this paper, we consider a two-dimensional nonstandard renewal risk model with stochastic returns, in which the two lines of claim sizes form a sequence of independent and identically distributed random vectors following a bivariate Sarmanov distribution, and the two claim-number processes satisfy...

Full description

Saved in:
Bibliographic Details
Published in:Journal of inequalities and applications 2018, Vol.2018 (1), p.1-18, Article 319
Main Authors: Dong, Yinghua, Wang, Dingcheng
Format: Article
Language:English
Subjects:
Analysis
Applications of Mathematics
Asymptotic properties
Bivariate analysis
Dependence
Dominated-variation distributions
Mathematics
Mathematics and Statistics
Ruin probabilities
Stochastic returns
Two dimensional models
Two-dimensional risk model
Uniform asymptotic formulas
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:In this paper, we consider a two-dimensional nonstandard renewal risk model with stochastic returns, in which the two lines of claim sizes form a sequence of independent and identically distributed random vectors following a bivariate Sarmanov distribution, and the two claim-number processes satisfy a certain dependence structure. When the two marginal distributions of the claim-size vector belong to the intersection of the dominated-variation class and the class of long-tailed distributions, we obtain uniform asymptotic formulas of finite-time and infinite-time ruin probabilities.
ISSN:1029-242X
1025-5834
1029-242X
DOI:10.1186/s13660-018-1913-6