First-hitting-time model

Ruin theory

Statistics

Applied mathematics

Computer science

Mathematics

Risk model

Programming language

Constant (computer programming)

Methodology And Computing In Applied Probability

This paper considers a bidimensional delay-claim risk model with constant force of interest, in which each main claim may induce a delayed claim after a random time. Specifically, if the main claims and delayed claims follow the subexponential distributions with some dependence structure, we obtain some precise asymptotic estimates for the finite-time ruin probabilities. In addition, some numerical simulations are presented to test the performance of the theoretical results.

Asymptotic Finite-Time Ruin Probabilities for a Bidimensional Delay-Claim Risk Model with Subexponential Claims