Asymptotic sum-ruin probability for a bidimensional risk model with common shock dependence

Abstract

In this paper, we consider a bidimensional continuous-time renewal risk model with common shock claim-arrival processes. When both two lines of claim sizes are assumed to be strongly subexponential, a uniformly asymptotic formula for sum-ruin probability within finite time t is established. The obtained result extends the one in Cheng and Yu [Uniform asymptotics for the ruin probabilities in a bidimensional renewal risk model with strongly subexponential claims, Stochastics 91(5) (2019), pp. 643–656].