American Institute of Mathematical Sciences

April  2019, 15(2): 481-505. doi: 10.3934/jimo.2018053

Asymptotics for a bidimensional risk model with two geometric Lévy price processes

 1 Department of Statistics, Nanjing Audit University, Nanjing 211815, China 2 School of Mathematics and Physics, Suzhou University of Science and Technology, Suzhou 215009, China 3 Department of Mathematical Sciences, Xi'an Jiaotong-Liverpool University, Suzhou 215123, China 4 College of Mathematics and Statistics, Chongqing University, Chongqing 401331, China

* Corresponding author: Zhimin Zhang

Received  August 2017 Revised  November 2017 Published  April 2018

Consider a bidimensional risk model with two geometric Lévy price processes and dependent heavy-tailed claims, in which we allow arbitrary dependence structures between the two claim-number processes generated by two kinds of businesses, and between the two geometric Lévy price processes. Under the assumption that the claims have consistently varying tails, the asymptotics for the infinite-time and finite-time ruin probabilities are derived.

Citation: Yang Yang, Kaiyong Wang, Jiajun Liu, Zhimin Zhang. Asymptotics for a bidimensional risk model with two geometric Lévy price processes. Journal of Industrial & Management Optimization, 2019, 15 (2) : 481-505. doi: 10.3934/jimo.2018053
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