Abstract
Abstract In this paper, we consider a bidimensional risk model with stochastic returns and dependent subexponential claims, in which every main claim may be accompanied by a delayed claim, occurring after an uncertain period of time. The surplus of each business line is allowed to be invested in a portfolio of risk-free assets, and the price process of the investment is modeled by a geometric Lévy process. Meanwhile, we employ a time-claim-dependent structure to describe the dependence among claims and the interarrival times. Some uniform asymptotic formulas for the finite-time ruin probabilities are derived under this structure. Finally, a simulation study is conducted to evaluate the accuracy of the derived results.
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- Year
- 2025
- Type
- article
- Pages
- 1-37
- Citations
- 0
- Access
- Closed
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Dawei Lu,
Xiaolong Qin,
Meng Yuan
(2025).
Uniform asymptotics for a time-dependent bidimensional delay-claim risk model with stochastic return and dependent subexponential claims.
Advances in Applied Probability
, 1-37.
https://doi.org/10.1017/apr.2025.10038
Identifiers
- DOI
- 10.1017/apr.2025.10038