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 37 条

[1] Extremes on the discounted aggregate claims in a time dependent risk model [J].

Asimit, Alexandru V. ;

Badescu, Andrei L. .

SCANDINAVIAN ACTUARIAL JOURNAL, 2010, (02) :93-104

[2] Dependence and the asymptotic behavior of large claims reinsurance [J].

Asimit, Alexandru V. ;

Jones, Bruce L. .

INSURANCE MATHEMATICS & ECONOMICS, 2008, 43 (03) :407-411

[3]

Bingham NH., 1989, REGULAR VARIATION

[4]

Chen Y., 2011, STOCH ANAL APPL, V41, P117

[5] Interplay of subexponential and dependent insurance and financial risks [J].

Chen, Yiqing .

INSURANCE MATHEMATICS & ECONOMICS, 2017, 77 :78-83

[6] Precise large deviations of aggregate claims in a size-dependent renewal risk model [J].

Chen, Yiqing ;

Yuen, Kam C. .

INSURANCE MATHEMATICS & ECONOMICS, 2012, 51 (02) :457-461

[7]

Chen YQ, 2011, J APPL PROBAB, V48, P1035, DOI 10.1239/jap/1324046017

[8] SUBEXPONENTIALITY OF THE PRODUCT OF INDEPENDENT RANDOM-VARIABLES [J].

CLINE, DBH ;

SAMORODNITSKY, E .

STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 1994, 49 (01) :75-98

[9]

Embrechts P., 1997, Modelling Extremal Events for Insurance and Finance, DOI 10.1007/978-3-642-33483-2

[10]

Foss S, 2011, SPRINGER SER OPER RE, P1, DOI 10.1007/978-1-4419-9473-8

← 1 2 3 4 →