Asymptotics for ruin probabilities in a bidimensional discrete-time risk model with dependent and consistently varying tailed net losses

References

• S. Asmussen and H. Albrecher, Ruin Probabilities, World Scientific, Singapore, 2010.
   Google Scholar
• N.H. Bingham, C.M. Goldie, and J.L. Teugels, Regular Variation, Cambridge University Press, Cambridge, 1987.
   Google Scholar
• Y. Chen, The finite-time ruin probability with dependent insurance and financial risks, J. Appl. Probab. 48(4) (2011), pp. 1035–1048.
   Web of Science ®Google Scholar
• Y. Chen, Interplay of subexponential and dependent insurance and financial risks, Insur. Math. Econ. 77 (2017), pp. 78–83.
   Web of Science ®Google Scholar
• Y. Chen and Y. Yang, Bivariate regular variation among randomly weighted sums in general insurance, Eur. Actuar. J. 9(1) (2019), pp. 301–322.
   Web of Science ®Google Scholar
• Y. Chen and Z. Yuan, A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks, Insur. Math. Econ. 73 (2017), pp. 75–81.
   Web of Science ®Google Scholar
• Y. Chen, J. Liu, and F. Liu, Ruin with insurance and financial risks following the least risky FGM dependence structure, Insur. Math. Econ. 62 (2015), pp. 98–106.
   Web of Science ®Google Scholar
• L. de Haan and A. Ferreira, Extreme Value Theory: An Introduction, Springer, New York, 2006.
   Google Scholar
• H. Joe, Multivariate Models and Multivariate Dependence Concepts, Chapman & Hall, London, 1997.
   Google Scholar
• J. Li, On the joint tail behavior of randomly weighted sums of heavy-tailed random variables, J. Multivariate Anal. 164 (2018), pp. 40–53.
   Web of Science ®Google Scholar
• J. Li and Q. Tang, Interplay of insurance and financial risks in a discrete-time model with strongly regular variation, Bernoulli 21(3) (2015), pp. 1800–1823.
   Web of Science ®Google Scholar
• R.B. Nelsen, An Introduction to Copulas, Springer, New York, 2006.
   Google Scholar
• M. Olvera-Cravioto, Asymptotics for weighted random sums, Adv. Appl. Probab. 44(4) (2012), pp. 1142–1172.
   Web of Science ®Google Scholar
• X. Shen and K. Du, Uniform approximation for the tail behavior of bidimensional randomly weighted sums, Methodol. Comput. Appl. Probab. 25 (1) (2023), p. 26. DOI:10.1007/s11009-023-10000-x.
   Web of Science ®Google Scholar
• X. Shen and Y. Zhang, Ruin probabilities of a two-dimensional risk model with dependent risks of heavy tail, Stat. Probab. Lett. 83(7) (2013), pp. 1787–1799.
   Web of Science ®Google Scholar
• Q. Tang and G. Tsitsiashvili, Randomly weighted sums of subexponential random variables with application to ruin theory, Extremes 6(3) (2003), pp. 171–188.
   Google Scholar
• Q. Tang and Y. Yang, Interplay of insurance and financial risks in a stochastic environment, Scand. Actuar. J. 2019(5) (2019), pp. 432–451.
   Web of Science ®Google Scholar
• Q. Tang and Z. Yuan, Randomly weighted sums of subexponential random variables with application to capital allocation, Extremes 17(3) (2014), pp. 467–493.
   Web of Science ®Google Scholar
• Q. Tang and Z. Yuan, Random difference equations with subexponential innovations, Sci. China Math. 59(12) (2016), pp. 2411–2426.
   Web of Science ®Google Scholar
• D. Wang, C. Su, and Y. Zeng, Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory, Sci. China Math. 48(10) (2005), pp. 1379–1394.
   Web of Science ®Google Scholar
• Y. Yang and D.G. Konstantinides, Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks, Scand. Actuar. J. 2015(8) (2015), pp. 641–659.
   Web of Science ®Google Scholar
• Y. Yang and K.C. Yuen, Asymptotics for a discrete-time risk model with gamma-like insurance risks, Scand. Actuar. J. 2016(6) (2016), pp. 565–579.
   Web of Science ®Google Scholar
• Y. Yang, S. Chen, and K.C. Yuen, Asymptotics for joint tail probability of bidimensional randomly weighted sums with applications to insurance, Sci. China Math. 67 (1) (2024), pp. 163–186. DOI:10.1007/s11425-022-2030-5.
   Web of Science ®Google Scholar
• Y. Yang, R. Leipus, and J. Šiaulys, Asymptotics for randomly weighted and stopped dependent sums, Stochastics 88(2) (2016), pp. 300–319.
   Web of Science ®Google Scholar
• Y. Yang, T. Zhang, and K.C. Yuen, Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations, J. Comput. Appl. Math. 321 (2017), pp. 143–159.
   Web of Science ®Google Scholar