Some asymptotic results of the ruin probabilities in a bidimensional renewal risk model with Brownian perturbation | Zendy

Dawei Lu | Zendy; Jiao Du | Zendy; Hui Song | Zendy

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Some asymptotic results of the ruin probabilities in a bidimensional renewal risk model with Brownian perturbation

Author(s) -

Dawei Lu,

Jiao 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.

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