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

被引：0
|
作者：
Shi-jie Wang
Chuan-wei Zhang
Xue-jun Wang
Wen-sheng Wang
机构：
[1] Anhui University,School of Mathematic Sciences
[2] Hangzhou Dianzi University,School of Economics
来源：
Acta Mathematicae Applicatae Sinica, English Series | 2018年 / 34卷
关键词：
discrete-time risk model; finite-time ruin probability; subexponentiality; product; dependence structure; 62P05; 62E10; 91B30;
D O I：
暂无
中图分类号：
学科分类号：
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
收藏
页码：553 / 565
页数：12
相关论文
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
    Wang, Shi-jie
    Zhang, Chuan-wei
    Wang, Xue-jun
    Wang, Wen-sheng
    [J]. ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2018, 34 (03): : 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
    Lin Jin-guan
    Tan Zhong-quan
    [J]. APPLIED MATHEMATICS-A JOURNAL OF CHINESE UNIVERSITIES SERIES B, 2014, 29 (02) : 194 - 204
12345