The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks

被引：0
|
作者：
Yang Yang
Jin-guan Lin
Zhong-quan Tan
机构：
[1] Nanjing Audit University,School of Mathematics and Statistics
[2] Southeast University,School of Economics and Management
[3] Southeast University,Department of Mathematics
[4] Jiaxing University,College of Mathematics, Physics and Information Engineering
来源：
Applied Mathematics-A Journal of Chinese Universities | 2014年 / 29卷
关键词：
Asymptotics; long-tailed and dominatedly-varying-tailed distribution; financial and insurance risks; finite-time ruin probability; bivariate Sarmanov distribution; 62P05; 62E10; 91B30;
D O I：
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中图分类号：
学科分类号：
摘要：
Consider a discrete-time insurance risk model. Within period i, i ≥ 1, Xi and Yi denote the net insurance loss and the stochastic discount factor of an insurer, respectively. Assume that {(Xi, Yi), i ≥ 1} form a sequence of independent and identically distributed random vectors following a common bivariate Sarmanov distribution. In the presence of heavy-tailed net insurance losses, an asymptotic formula is derived for the finite-time ruin probability.
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页码：194 / 204
页数：10
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