TY - JOUR
T1 - Asymptotics for a bidimensional risk model with two geometric Lévy price processes
AU - Yang, Yang
AU - Wang, Kaiyong
AU - Liu, Jiajun
AU - Zhang, Zhimin
N1 - Publisher Copyright:
© 2019 American Institute of Mathematical Sciences.
PY - 2019/4/1
Y1 - 2019/4/1
N2 - Consider a bidimensional risk model with two geometric Lévy price processes and dependent heavy-tailed claims, in which we allow arbitrary dependence structures between the two claim-number processes generated by two kinds of businesses, and between the two geometric Lévy price processes. Under the assumption that the claims have consistently varying tails, the asymptotics for the infinite-time and finite-time ruin probabilities are derived.
AB - Consider a bidimensional risk model with two geometric Lévy price processes and dependent heavy-tailed claims, in which we allow arbitrary dependence structures between the two claim-number processes generated by two kinds of businesses, and between the two geometric Lévy price processes. Under the assumption that the claims have consistently varying tails, the asymptotics for the infinite-time and finite-time ruin probabilities are derived.
KW - Asymptotics
KW - Bidimensional risk model
KW - Consistently varying tail
KW - Dependence
KW - Dominatedly varying tail
KW - Geometric Lévy price process
KW - Infinite-time and finitetime ruin probabilities
KW - Long tail
UR - http://www.scopus.com/inward/record.url?scp=85063724834&partnerID=8YFLogxK
U2 - 10.3934/jimo.2018053
DO - 10.3934/jimo.2018053
M3 - Article
AN - SCOPUS:85063724834
SN - 1547-5816
VL - 15
SP - 481
EP - 505
JO - Journal of Industrial and Management Optimization
JF - Journal of Industrial and Management Optimization
IS - 2
ER -