The ruin probabilities of a discrete-time risk model with dependent insurance and financial risks

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:444

Article

Liu, Rongfei¹  Wang, Dingcheng^1,2 

[1] Univ Elect Sci & Technol China, Sch Math Sci, Chengdu 611731, Peoples R China

[2] Nanjing Audit Univ, Ctr Financial Engn, Nanjing 211815, Jiangsu, Peoples R China

关键词: Asymptotic estimate;    Ruin probability;    Dependent insurance and financial risk;    Heavy tail;   

DOI  :  10.1016/j.jmaa.2016.05.047

来源: Elsevier

【 摘 要 】

Following the work of Sun and Wei (2014) [7], we investigate the ruin probabilities of a discrete-time insurance risk model with dependent insurance and financial risks. Assume that the one-period net insurance losses and discount factors form a sequence of independent and identically distributed copies of a random pair (X, theta). When the product X theta is heavy tailed, we establish an asymptotic formula for the finite-time ruin probability without any restriction on the dependence structure of (X, 9) and extend the result to the infinite time ruin probability. (C) 2016 Elsevier Inc. All rights reserved.

【 授权许可】

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