A new approach in two-dimensional heavy-tailed distributions

Abstract We consider a new approach in the definition of two-dimensional heavy-tailed distributions. Specifically, we introduce the classes of two-dimensional long-tailed, of two-dimensional dominatedly varying, and of two-dimensional consistently varying distributions. Next, we define the closure property with respect to two-dimensional convolution and to joint max-sum equivalence in order to study whether they are satisfied by these classes. Further, we examine the joint-tail behavior of two random sums, under generalized tail asymptotic independence. Afterward, we study the closure property under scalar product and two-dimensional product convolution, and by these results, we extended our main result in the case of jointly randomly weighted sums. Our results contained some applications where we establish the asymptotic expression of the ruin probability in a two-dimensional discrete-time risk model.