Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks

被引：337

作者：

Tang, QH

Tsitsiashvili, G

机构：

[1] Univ Amsterdam, Dept Quanititat Econ, NL-1018 WB Amsterdam, Netherlands

[2] Russian Acad Sci, Far Eastern Sci Ctr, Inst Appl Math, Vladivostok 690068, Russia

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2003年 / 108卷 / 02期

关键词：

asymptotics; dominated variation; Matuszewska indices; moment index; ruin probability; subexponentiality;

D O I：

10.1016/j.spa.2003.07.001

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 investigates the probability of ruin within finite horizon for a discrete time risk model, in which the reserve of an insurance business is currently invested in a risky asset. Under assumption that the risks are heavy tailed, some precise estimates for the finite time ruin probability are derived, which confirm a folklore that the ruin probability is mainly determined by whichever of insurance risk and financial risk is heavier than the other. In addition, some discussions on the heavy tails of the sum and product of independent random variables are involved, most of which have their own merits. (C) 2003 Elsevier B.V. All rights reserved.

引用

页码：299 / 325

页数：27

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