Some asymptotic results of the ruin probabilities in a bidimensional renewal risk model with Brownian perturbation


Dawei Lu, Jiao Du, Hui Song




In this paper, a bidimensional renewal risk model with constant force of interest and Brownian perturbation is considered. Assuming that the claim-size distribution function is from the subexponential class, three types of the finite-time ruin probabilities under this model are discussed. We obtain the asymptotic formulas for the three types, which hold uniformly for any finite-time horizon,