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Conference Paper: Asymptotics for ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
| Title | Asymptotics for ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims |
|---|---|
| Authors | |
| Keywords | Asymptotics Heavy tail Finite-time ruin probability Renewal process Two-dimensional risk model |
| Issue Date | 2009 |
| Citation | The 11th International Congress on Insurance: Mathematics and Economics (IME 2007), Piraeus, Greece, 10-12 July 2007. How to Cite? |
| Abstract | In this paper, we consider two dependent classes of insurance business with heavy-tailed claims. The dependence comes from the assumption that claim arrivals of the two classes are governed by a common renewal counting process. We study two types of ruin in the two-dimensional framework. For each type of ruin, we establish an asymptotic formula for the finite-time ruin probability. These formulae possess a certain uniformity feature in the time horizon. |
| Persistent Identifier | http://hdl.handle.net/10722/134847 |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Chen, Y | - |
| dc.contributor.author | Yuen, KC | - |
| dc.contributor.author | Ng, KW | - |
| dc.date.accessioned | 2011-07-21T04:38:11Z | - |
| dc.date.available | 2011-07-21T04:38:11Z | - |
| dc.date.issued | 2009 | - |
| dc.identifier.citation | The 11th International Congress on Insurance: Mathematics and Economics (IME 2007), Piraeus, Greece, 10-12 July 2007. | - |
| dc.identifier.uri | http://hdl.handle.net/10722/134847 | - |
| dc.description.abstract | In this paper, we consider two dependent classes of insurance business with heavy-tailed claims. The dependence comes from the assumption that claim arrivals of the two classes are governed by a common renewal counting process. We study two types of ruin in the two-dimensional framework. For each type of ruin, we establish an asymptotic formula for the finite-time ruin probability. These formulae possess a certain uniformity feature in the time horizon. | - |
| dc.language | eng | - |
| dc.relation.ispartof | International Congress on Insurance: Mathematics and Economics | - |
| dc.subject | Asymptotics | - |
| dc.subject | Heavy tail | - |
| dc.subject | Finite-time ruin probability | - |
| dc.subject | Renewal process | - |
| dc.subject | Two-dimensional risk model | - |
| dc.title | Asymptotics for ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims | en_US |
| dc.type | Conference_Paper | en_US |
| dc.identifier.email | Chen, Y: yqchen@hkusua.hku.hk | - |
| dc.identifier.email | Yuen, KC: kcyuen@hku.hk | - |
| dc.identifier.email | Ng, KW: kaing@hkucc.hku.hk | - |
| dc.identifier.hkuros | 145315 | - |
| dc.description.other | The 11th International Congress on Insurance: Mathematics and Economics (IME 2007), Piraeus, Greece, 10-12 July 2007. | - |