Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns

In this paper, we consider a two-dimensional nonstandard renewal risk model with stochastic returns, in which the two lines of claim sizes form a sequence of independent and identically distributed random vectors following a bivariate Sarmanov distribution, and the two claim-number processes satisfy a certain dependence structure. When the two marginal distributions of the claim-size vector belong to the intersection of the dominated-variation class and the class of long-tailed distributions, we obtain uniform asymptotic formulas of finite-time and infinite-time ruin probabilities.

• Publication year

  2018

• Venue

  Journal of Inequalities and Applications

• Publication date

  2018-11-19

• Fields of study

  Mathematics, Medicine

• Identifiers
  DOI 10.1186/s13660-018-1913-6PMID 30839840PMCID 6244751
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar, PubMed

• No claims are published for this paper.

• No concepts are published for this paper.

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