2019
DOI: 10.1017/s0269964819000020
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A Particular Bidimensional Time-Dependent Renewal Risk Model With Constant Interest Rates

Abstract: Consider a particular bidimensional risk model, in which two insurance companies divide between them in different proportions both the premium income and the aggregate claims. In practice, it can be interpreted as an insurer–reinsurer scenario, where the reinsurer takes over a proportion of the insurer's losses. Under the assumption that the claim sizes and inter-arrival times form a sequence of independent and identically distributed random pairs, with each pair obeying a dependence structure, an asymptotic e… Show more

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Cited by 6 publications
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