Authors
Dimitrios G Konstantinides, Jinzhu Li
Publication date
2016/7/1
Journal
Insurance: Mathematics and Economics
Volume
69
Pages
38-44
Publisher
North-Holland
Description
This paper studies a continuous-time multidimensional risk model with constant force of interest and dependence structures among random factors involved. The model allows a general dependence among the claim-number processes from different insurance businesses. Moreover, we utilize the framework of multivariate regular variation to describe the dependence and heavy-tailed nature of the claim sizes. Some precise asymptotic expansions are derived for both finite-time and infinite-time ruin probabilities.
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