Abstract Consider a bidimensional risk model, in which two insurance companies divide between them the claims in some specified proportions, and every main claim induces a delayed by-claim. Suppose that the surpluses of the two companies are invested into portfolios whose returns follow a geometric Levy process. When the claim-size distribution is consistently-varying tailed, and the inter-arrival time and claim-size follow some dependence structure, asymptotic estimates for the ruin probabilities of this bidimensional risk model are derived.
Received: 17 January 2016
Published: 07 April 2018
LI Hui-jie, NI Jia-lin, FU Ke-ang. Asymptotic estimates for the bidimensional time-dependent risk model with investments and by-claims. Applied Mathematics A Journal of Chinese Universities, 2017, 32(3): 283-294.
