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ABSTRACT This article studies a continuous-time bidimensional risk model, in which an insurer simultaneously confronts two kinds of claim sharing a common renewal claim-number process. Under the assumption that the… Click to show full abstract
ABSTRACT This article studies a continuous-time bidimensional risk model, in which an insurer simultaneously confronts two kinds of claim sharing a common renewal claim-number process. Under the assumption that the claim size vectors form a sequence of independent and identically distributed random vectors following a common bivariate Farlie–Gumbel–Morgenstern distribution with extended regularly varying margins, we derive an explicit asymptotic formula for the corresponding infinite-time ruin probability.
Journal Title: Communications in Statistics - Theory and Methods
Year Published: 2017
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