Finite time ruin probability with heavy-tailed insurance and financial risks

被引：18

作者：

Chen, Yu ^{[1
]}

Su, Chun ^{[1
]}

机构：

[1] Univ Sci & Technol China, Dept Stat & Finance, Anhua 230026, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2006年 / 76卷 / 16期

基金：

中国国家自然科学基金;

关键词：

subexponentiality; independent product; ruin probability; financial risk; insurance risk;

D O I：

10.1016/j.spl.2006.04.029

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper studies the probability of ruin within a finite time for a discrete-time model, in which the insurance risk is assumed to be heavy tailed. A precise asymptotic estimate for the finite-time ruin probability is established as the initial capital increases, extending the corresponding result of Tang and Tsitsashvili [2003. Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks. Stochastic Process. Appl. 108, 299-325] to the subexponential case. (c) 2006 Elsevier B.V. All rights reserved.

引用

页码：1812 / 1820

页数：9

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