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- Title
A PARTICULAR BIDIMENSIONAL TIME-DEPENDENT RENEWAL RISK MODEL WITH CONSTANT INTEREST RATES.
- Authors
Fu, Ke-Ang; Ni, Chang; Chen, Hao
- Abstract
Consider a particular bidimensional risk model, in which two insurance companies divide between them in different proportions both the premium income and the aggregate claims. In practice, it can be interpreted as an insurer–reinsurer scenario, where the reinsurer takes over a proportion of the insurer's losses. Under the assumption that the claim sizes and inter-arrival times form a sequence of independent and identically distributed random pairs, with each pair obeying a dependence structure, an asymptotic expression for the ruin probability of this bidimensional risk model with constant interest rates is established.
- Subjects
INTEREST rates; INSURANCE companies; RISK; PROBABILITY theory
- Publication
Probability in the Engineering & Informational Sciences, 2020, Vol 34, Issue 2, p172
- ISSN
0269-9648
- Publication type
Article
- DOI
10.1017/S0269964819000020