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

被引：14
|
作者：
Liu, Rongfei [1 ]
Wang, Dingcheng [1 ,2 ]
机构：
[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
来源：
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | 2016年 / 444卷 / 01期
基金：
中国国家自然科学基金;
关键词：
Asymptotic estimate; Ruin probability; Dependent insurance and financial risk; Heavy tail; RANDOMLY WEIGHTED SUMS; CLAIMS;
D O I：
10.1016/j.jmaa.2016.05.047
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
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.
引用
收藏
页码：80 / 94
页数：15
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