Open AccessSome asymptotic results of the ruin probabilities in a bidimensional renewal risk model with Brownian perturbation
Author(s) -
Dawei Lu,
Juan Du,
Hui Song
Publication year - 2019
Publication title -
filomat
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.449
H-Index - 34
eISSN - 2406-0933
pISSN - 0354-5180
DOI - 10.2298/fil1910243l
Subject(s) - mathematics , brownian motion , risk model , perturbation (astronomy) , ruin theory , renewal theory , class (philosophy) , first hitting time model , mathematical analysis , constant (computer programming) , statistics , physics , quantum mechanics , artificial intelligence , computer science , programming language
In this paper, a bidimensional renewal risk model with constant force of interest and Brownian perturbation is considered. Assuming that the claim-size distribution function is from the subexponential class, three types of the finite-time ruin probabilities under this model are discussed. We obtain the asymptotic formulas for the three types, which hold uniformly for any finite-time horizon.