Uniform asymptotics for ruin probabilities of a non standard bidimensional perturbed risk model with subexponential claims

Abstract

In this paper, we consider three types of finite-time ruin probabilities for a non standard bidimensional risk model perturbed by diffusion. In this model, it is assumed that the two claim-arrival processes are general counting processes and arbitrarily dependent. Moreover, the two classes of claim sizes are dependent according to a certain structure proposed in Ko and Tang (Journal of Applied Probability 45:5–95, 2008). When the claim sizes are assumed to be subexponential, we derive three uniformly asymptotic formulas for finite-time ruin probabilities over a finite interval of time horizon. The obtained results extend some existing ones in the literature.

Keywords:

• Bidimensional perturbed risk model
• ruin probability
• subexponential distribution
• asymptotic

AMS SUBJECT CLASSIFICATIONS:

• 62P05
• 60E05

Additional information

Funding

This work was supported by the Natural Science Foundation of Anhui Province (grant number 1808085MA16), the Natural Science Research Project of Universities of Anhui Province (grant number KJ2019A0001).