The Finite-time Ruin Probability of a Discrete-time Risk Model with Subexponential and Dependent Insurance and Financial Risks

被引：1

作者：

Wang, Shi-jie ^{[1
]}

Zhang, Chuan-wei ^{[1
]}

Wang, Xue-jun ^{[1
]}

Wang, Wen-sheng ^{[2
]}

机构：

[1] Anhui Univ, Sch Mathemat Sci, Hefei 230601, Anhui, Peoples R China

[2] Hangzhou Dianzi Univ, Sch Econ, Hangzhou 310018, Zhejiang, Peoples R China

来源：

ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES | 2018年 / 34卷 / 03期

基金：

美国国家科学基金会;

关键词：

discrete-time risk model; finite-time ruin probability; subexponentiality; product; dependence structure; RANDOMLY WEIGHTED SUMS; DISCOUNTED AGGREGATE CLAIMS; RANDOM-VARIABLES; ECONOMIC-ENVIRONMENT; TAIL PROBABILITY; APPROXIMATION; BEHAVIOR; PRODUCT;

D O I：

10.1007/s10255-018-0768-4

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Consider a discrete-time risk model with insurance and financial risks in a stochastic economic environment. Assume that the insurance and financial risks form a sequence of independent and identically distributed random vectors with a generic random vector following a wide type of dependence structure. An asymptotic formula for the finite-time ruin probability with subexponential insurance risks is derived. In doing so, the subexponentiality of the product of two dependent random variables is investigated simultaneously.

引用

页码：553 / 565

页数：13

共 50 条

[1] The Finite-time Ruin Probability of a Discrete-time Risk Model with Subexponential and Dependent Insurance and Financial Risks
Shi-jie WANG
Chuan-wei ZHANG
Xue-jun WANG
Wen-sheng WANG
[J]. Acta Mathematicae Applicatae Sinica, 2018, 34 (03) : 553 - 565
[2] The Finite-time Ruin Probability of a Discrete-time Risk Model with Subexponential and Dependent Insurance and Financial Risks
Shi-jie Wang
Chuan-wei Zhang
Xue-jun Wang
Wen-sheng Wang
[J]. Acta Mathematicae Applicatae Sinica, English Series, 2018, 34 : 553 - 565
[3] Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks*
Wang, Kaiyong
Gao, Miaomiao
Yang, Yang
Chen, Yang
[J]. LITHUANIAN MATHEMATICAL JOURNAL, 2018, 58 (01) : 113 - 125
[4] Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks*
Kaiyong Wang
Miaomiao Gao
Yang Yang
Yang Chen
[J]. Lithuanian Mathematical Journal, 2018, 58 : 113 - 125
[5] Estimate for the Finite-time Ruin Probability in the Discrete-time Risk Model with Insurance and Financial Risks
Yang, Yang
[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2014, 43 (10-12) : 2094 - 2104
[6] THE FINITE-TIME RUIN PROBABILITY WITH DEPENDENT INSURANCE AND FINANCIAL RISKS
Chen, Yiqing
[J]. JOURNAL OF APPLIED PROBABILITY, 2011, 48 (04) : 1035 - 1048
[7] On the ruin probability in a dependent discrete time risk model with insurance and financial risks
Yang, Yang
Leipus, Remigijus
Siaulys, Jonas
[J]. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2012, 236 (13) : 3286 - 3295
[8] The finite-time ruin probability of a discrete-time risk model with GARCH discounted factors and dependent risks
Liu, Rongfei
Wang, Dingcheng
Guo, Fenglong
[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2018, 47 (17) : 4170 - 4186
[9] The ruin probabilities of a discrete-time risk model with dependent insurance and financial risks
Liu, Rongfei
Wang, Dingcheng
[J]. JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2016, 444 (01) : 80 - 94
[10] The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks
Yang Yang
Jin-guan Lin
Zhong-quan Tan
[J]. Applied Mathematics-A Journal of Chinese Universities, 2014, 29 : 194 - 204

← 1 2 3 4 5 →