Abstract
Consider a two-dimensional renewal risk model, in which the independent and identically distributed claim-size random vectors follow a common bivariate Farlie–Gumbel–Morgenstern distribution. Assuming that the surplus is invested in a portfolio whose return follows a Lévy process and that the claim-size distribution is heavy-tailed, uniformly asymptotic estimates for two kinds of finite-time ruin probabilities of the two-dimensional risk model are obtained.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.