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  • A PARTICULAR BIDIMENSIONAL TIME-DEPENDENT RENEWAL RISK MODEL WITH CONSTANT INTEREST RATES

  • Ke-Ang Fu, Chang Ni, Hao Chen
  • Journal:
    Probability in the Engineering and Informational Sciences / Volume 34 / Issue 2 / April 2020
    Published online by Cambridge University Press:
    07 March 2019, pp. 172-182
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  • Consider a particular bidimensional risk model, in which two insurance companies divide between them in different proportions both the premium income and the aggregate claims. In practice, it can be interpreted as an insurer–reinsurer scenario, where the reinsurer takes over a proportion of the insurer's losses. Under the assumption that the claim sizes and inter-arrival times form a sequence of independent and identically distributed random pairs, with each pair obeying a dependence structure, an asymptotic expression for the ruin probability of this bidimensional risk model with constant interest rates is established.