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Asymptotic Finite-Time Ruin Probabilities for a Bidimensional Delay-Claim Risk Model with Subexponential Claims

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Abstract

This paper considers a bidimensional delay-claim risk model with constant force of interest, in which each main claim may induce a delayed claim after a random time. Specifically, if the main claims and delayed claims follow the subexponential distributions with some dependence structure, we obtain some precise asymptotic estimates for the finite-time ruin probabilities. In addition, some numerical simulations are presented to test the performance of the theoretical results.

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Data Availability Statement

All data generated during the current study are available from the corresponding author on reasonable request.

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Acknowledgements

The authors would like to thank anonymous referees for valuable comments which greatly improve the presentation of the paper. The research was supported by Dalian High-level Talent Innovation Project (Grant No. 2020RD09).

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Authors and Affiliations

  1. School of Mathematical Sciences, Dalian University of Technology, Dalian, 116023, China

    Dawei Lu & Meng Yuan

  2. Key Laboratory for Computational Mathematics and Data Intelligence of Liaoning Province, Dalian University of Technology, Dalian, 116024, China

    Dawei Lu

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  1. Dawei Lu
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  2. Meng Yuan
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Correspondence to Dawei Lu.

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Lu, D., Yuan, M. Asymptotic Finite-Time Ruin Probabilities for a Bidimensional Delay-Claim Risk Model with Subexponential Claims. Methodol Comput Appl Probab 24, 2265–2286 (2022). https://doi.org/10.1007/s11009-021-09921-2

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  • DOI: https://doi.org/10.1007/s11009-021-09921-2

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