Asymptotic ruin probabilities in a generalized bidimensional risk model perturbed by diffusion with constant force of interest. (English) Zbl 1291.91109
Summary: We study three types of finite-time ruin probabilities in a diffusion-perturbed bidimensional risk model with constant force of interest, pairwise strongly quasi-asymptotically independent claims and two general claim arrival processes, and obtain uniformly asymptotic formulas for times in a finite interval when the claims are both long-tailed and dominatedly-varying-tailed. In particular, with a certain dependence structure among the inter-arrival times, these formulas hold uniformly for all times when the claims are pairwise quasi-asymptotically independent and consistently-varying-tailed.
MSC:
| 91B30 | Risk theory, insurance (MSC2010) |
| 60J60 | Diffusion processes |
Keywords:
uniform asymptotics; finite-time ruin probability; diffusion; asymptotic independence; counting process; widely lower orthant dependenceReferences:
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