Abstract
This paper considers a bidimensional renewal risk model with main claims and delayed claims. Concretely, suppose that an insurance company simultaneously operates two kinds of businesses. Each line of business separately triggers two types of claims. One type is the main claim and the other is the delayed claim occurring a little later than its main claim. Assuming that two kinds of main claims, as well as their corresponding delayed claims, are mutually independent and subexponential, an asymptotic formula for the finite-time ruin probability of this risk model is obtained as the initial surpluses tend to infinity. In addition, some simulation studies are also performed to check the accuracy of the obtained theoretical result.
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All data generated during the current study are available from the corresponding author on reasonable request.
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Acknowledgements
The authors would like to thank the anonymous referee for his/her insightful suggestions which have helped us improve the paper greatly. This work is supported by the Natural Science Foundation of Anhui Province (2208085MA06) and the Provincial Natural Science Research Projects of Anhui Colleges (KJ2021A0049, KJ2021A0060, 2022AH050067).
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Wang, S., Yang, Y., Liu, Y. et al. Asymptotics for a Bidimensional Renewal Risk Model with Subexponential Main Claims and Delayed Claims. Methodol Comput Appl Probab 25, 76 (2023). https://doi.org/10.1007/s11009-023-10050-1
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DOI: https://doi.org/10.1007/s11009-023-10050-1