Asymptotics for a bidimensional risk model with two geometric Lévy price processes

By Yang Yang, Kaiyong Wang, Jiajun Liu, Zhimin Zhang. Journal of Industrial and Management Optimization, 2019

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Consider a bidimensional risk model with two geometric Levy 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 Levy 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.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

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