Theoretical analysis demonstrates uniform asymptotic formulas for finite-time ruin probabilities in coupled risk models, highlighting risk dynamics under heavy-tailed claims.
In this paper, we consider two dependent classes of insurance business with heavy-tailed claims. The dependence comes from the assumption that claim arrivals of the two classes are governed by a common renewal counting process. We study two types of ruin in the two-dimensional framework. For each type of ruin, we establish an asymptotic formula for the finite-time ruin probability. These formulae possess a certain uniformity feature in the time horizon.
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Chen et al. (2010) studied this question.
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