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<p>In insurance risk management, catastrophic events typically lead to multiple claims, which are often interdependent, such as property damage, potentially accompanied by delayed claims for medical compensation. This paper investigates a bidimensional dependent delayed claim risk model, incorporating a common counting process and Brownian motion to capture the uncertainties in risky investments. Within this framework, we derive an asymptotic estimate for the finite-time ruin probability and explore natural extensions to a multidimensional risk model, enhancing its flexibility and adaptability to various business strategies and the evolving demands of risk management. Numerical simulations are provided to validate the accuracy of the derived asymptotic results.</p>

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Asymptotic Ruin Probability for a Bidimensional Delay-claim Risk Model with Dependent Subexponential Claims

  • 期刊论文

  • 发表日期：

    2025年11月21日

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  • Yuchen Sun,
  • Dawei Lu,
  • Meng Yuan

摘要

In insurance risk management, catastrophic events typically lead to multiple claims, which are often interdependent, such as property damage, potentially accompanied by delayed claims for medical compensation. This paper investigates a bidimensional dependent delayed claim risk model, incorporating a common counting process and Brownian motion to capture the uncertainties in risky investments. Within this framework, we derive an asymptotic estimate for the finite-time ruin probability and explore natural extensions to a multidimensional risk model, enhancing its flexibility and adaptability to various business strategies and the evolving demands of risk management. Numerical simulations are provided to validate the accuracy of the derived asymptotic results.