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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.
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页码：80 / 94
页数：15
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