Geodesic
The infinite-time ruin probability for a bidimensional risk model with dependent geometric Lévy price processes
Filomat, Tome 36 (2022) no. 11, p. 3641

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DOI

In this paper, we focus on a bidimensional risk model with heavy-tailed claims and geometric Lévy price processes, in which the two claim-number processes generated by the two kinds of business are not necessary to be identical and can be arbitrarily dependent. In this model, the claim size vectors (X 1 , Y 1) , (X 2 , Y 2) , · · · are supposed to be independent and identically distributed random vectors, but for i ≥ 1, each pair (X i , Y i) follows the strongly asymptotic independence structure. Under the assumption that the claims have consistently varying tails, an asymptotic formula for the infinite-time ruin probability is established, which extends the existing results in the literature to some extent.
DOI : 10.2298/FIL2211641W
Classification : 62E20, 62H20
Keywords: Bidimensional risk model, Geometric Le´vy price process, Consistently varying tail, Strongly asymptotic independence, Ruin probability 
Bingjie Wang; Dongya Cheng; Jigao Yan. The infinite-time ruin probability for a bidimensional risk model with dependent geometric Lévy price processes. Filomat, Tome 36 (2022) no. 11, p. 3641 . doi: 10.2298/FIL2211641W
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     title = {The infinite-time ruin probability for a bidimensional risk model with dependent geometric {L\'evy} price processes},
     journal = {Filomat},
     pages = {3641 },
     year = {2022},
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     doi = {10.2298/FIL2211641W},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.2298/FIL2211641W/}
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