| Issue |
ESAIM: PS
Volume 30, 2026
|
|
|---|---|---|
| Page(s) | 162 - 191 | |
| DOI | https://doi.org/10.1051/ps/2026001 | |
| Published online | 10 March 2026 | |
Asymptotics for absolute ruin probabilities of a dependent bidimensional risk model with subexponential claims
School of Mathematical Sciences, Suzhou University of Science and Technology, Suzhou 215009, PR China
* Corresponding author: This email address is being protected from spambots. You need JavaScript enabled to view it.
Received:
13
June
2025
Accepted:
8
January
2026
Abstract
This paper considers a continuous-time bidimensional risk model with a constant interest force, where there exist dependence structures among the claim sizes of two business lines and the inter-arrival times of the claim sizes. When the claim sizes have subexponential distributions, some uniform asymptotics for the finite-time absolute ruin probabilities of the bidimensional risk model are established.
Mathematics Subject Classification: 62P05 / 62E10 / 91B30
Key words: Bidimensional risk model / absolute ruin probability / asymptotics / subexponential distribution
© The authors. Published by EDP Sciences, SMAI 2026
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