Asymptotics for Bivariate Risk Models with Random-Size Clusters of Dependent Claims

Source abstract

This paper investigates finite-horizon tail and ruin asymptotics for models with random-size clusters of dependent main and delayed claims under Levy investments. Under long-tailed, dominatedly varying claim distributions, a conditional, uniformly weighted Ko-Tang condition within clusters, and moment conditions, univariate asymptotics are derived for discounted aggregate claims and ruin probabilities. For two business lines sharing renewal arrivals but having independent claim marks and Levy processes, marginal and joint tail asymptotics are established as thresholds diverge, without restricting their ratio. Results provide asymptotic formulas for ruin in both lines, simultaneous ruin, and ruin in at least one line.