Bai, Xiaodong; Song, Lixin - In: Statistics & Probability Letters 81 (2011) 12, pp. 1891-1898
Consider a risk model with two correlated classes of insurance business and a constant force of interest. We assume that the correlation comes from a common shock and that the claim-size distribution is heavy-tailed. Under this setting, we investigate the tail behavior of the sum of the two...