Consider a two-dimensional risk model, in which two insurance companies divide between them the claims in some specified proportions. Suppose that the claim sizes and inter-arrival times form a sequence of independent and identically distributed random pairs, with each pair obeying a dependence structure, and the surpluses of the two companies are invested into portfolios whose returns follow two different geometric Lévy processes. When the claim-size distribution is extended-regularly-varying tailed, asymptotic expressions for the ruin probability of this two-dimensional risk model are exhibited. Some numerical results are also presented to illustrate the accuracy of our asymptotic formulae.
|Number of pages||14|
|Journal||JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS|
|Publication status||Published - 15 Dec 2018|
- Extended regular variation
- Lévy process
- Ruin probability
- Time-dependent risk model