The Asymptotic Tail Behavior of Discounted Total Claims for a Bivariate Risk Model with Constant Rate of Interest

Abstract

In this paper,we consider a nonstandard bivariate risk model with constant rate of interest, in which the two kinds of claim sizes constitute a sequence of independent and identically distributed random vectors following a bivariate FGM distribution. When the two marginal distributions of the claim-size vector are subexponential, we present an asymptotic formula for the tail of discounted total claims.