Abstract
We consider a continuous-time two-dimensional risk model, in which the claims from the two lines of insurance businesses satisfy an extensive asymptotic independence structure and the stochastic return is driven by a geometric Lévy process. Under a mild technical condition regarding the Laplace exponent of the Lévy process, we obtain explicit asymptotic expansions for both finite-time and infinite-time ruin probabilities when the claim sizes have regularly varying distributions.
MATHEMATICS SUBJECT CLASSIFICATION:
Acknowledgments
The author is very grateful to the anonymous reviewers for their thorough reading of the paper and constructive suggestions.
Disclosure statement
The author declared that he has no conflict of interest.