Asymptotic estimates for finite-time ruin probabilities in a generalized dependent bidimensional risk model with CMC simulations

Xinru Ji; Bingjie Wang; Jigao Yan; Dongya Cheng

doi:10.3934/jimo.2022036

Article Contents

2023, Volume 19, Issue 3: 2140-2155. Doi: 10.3934/jimo.2022036

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Asymptotic estimates for finite-time ruin probabilities in a generalized dependent bidimensional risk model with CMC simulations

School of Mathematical Sciences, Soochow University, Suzhou 215006, China

^*Corresponding author: Dongya Cheng
^*Corresponding author: Dongya Cheng

Received: July 31, 2021

Revised: December 31, 2021

Early access: March 2022

Published: March 2023

The fourth author is supported by National Natural Science Foundation of China (No. 11401415)

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Abstract

This paper studies ruin probabilities of a generalized bidimensional risk model with dependent and heavy-tailed claims and additional net loss processes. When the claim sizes have long-tailed and dominated-varying-tailed distributions, precise asymptotic formulae for two kinds of finite-time ruin probabilities are derived, where the two claim-number processes from different lines of business are almost arbitrarily dependent. Under some extra conditions on the independence relation of claim inter-arrival times, the class of the claim-size distributions is extended to the subexponential distribution class. In order to verify the accuracy of the obtained theoretical result, a simulation study is performed via the crude Monte Carlo method.

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Mathematics Subject Classification: Primary: 62P05; Secondary: 62E10.

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Figure 1. Sample paths of the two discounted values of the surplus processes $ R_1(t) $ (the blue lines) and $ R_2(t) $ (the orange lines) (obtained based on $ 0\le t\le50 $, $ (x, y) = (20, 20) $, $ r = 0.03 $ and $ c = 50 $)

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Table 1. Results of simulations

x	y	$\frac{N_{\text{sim}}}{N}$	$\frac{N_{\text{and}}}{N}$	$R_T(x, y)$	$E_{\text{sim}}$	$E_{\text{and}}$
$1000$	$1000$	$1.50\times 10^{-5}$	$1.54\times 10^{-5}$	$1.5222\times 10^{-5}$	$0.01458$	$-0.01169$
$1500$	$1500$	$7.10\times 10^{-6}$	$7.30\times 10^{-6}$	$6.7656\times 10^{-6}$	$-0.04943$	$-0.07899$
$2000$	$2000$	$3.90\times 10^{-6}$	$4.00\times 10^{-6}$	$3.8056\times 10^{-6}$	$-0.02481$	$-0.05108$
$2500$	$2500$	$2.50\times 10^{-6}$	$2.60\times 10^{-6}$	$2.4360\times 10^{-6}$	$-0.02627$	$-0.06732$
$3000$	$3000$	$1.70\times 10^{-6}$	$1.80\times 10^{-6}$	$1.6914\times 10^{-6}$	$-0.00508$	$-0.06421$

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