A revisit to asymptotic ruin probabilities for a bidimensional renewal risk model

Abstract

Recently, Yang and Li (2014) studied a bidimensional renewal risk model with constant force of interest and dependent subexponential claims. Under the special Farlie–Gumbel–Morgenstern dependence structure and a technical moment condition on the claim-number process, they derived an asymptotic expansion for the finite-time ruin probability. In this paper, we show that their result can be extended to a much more general dependence structure without any extra condition on the renewal claim-number process. We also give some asymptotic expansions for the corresponding infinite-time ruin probability within the scope of extended regular variation.