Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns

Abstract

Abstract In this paper, we consider a two-dimensional nonstandard renewal risk model with stochastic returns, in which the two lines of claim sizes form a sequence of independent and identically distributed random vectors following a bivariate Sarmanov distribution, and the two claim-number processes satisfy a certain dependence structure. When the two marginal distributions of the claim-size vector belong to the intersection of the dominated-variation class and the class of long-tailed distributions, we obtain uniform asymptotic formulas of finite-time and infinite-time ruin probabilities.

Keywords

• Uniform asymptotic formulas
• Ruin probabilities
• Two-dimensional risk model
• Stochastic returns
• Dominated-variation distributions