کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076136 | 1477202 | 2017 | 7 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks
ترجمه فارسی عنوان
بازنگری برای خراب شدن احتمال در حضور بیمه های سنگین و خطرات مالی
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
چکیده انگلیسی
Recently, Sun and Wei (2014) studied the finite-time ruin probability under a discrete-time insurance risk model, in which the one-period insurance and financial risks are assumed to be independent and identically distributed copies of a random pair (X,Y). For the heavy-tailed case, under a restriction on the dependence structure of (X,Y), they established an asymptotic formula for the finite-time ruin probability. In this paper we make an effort to remove this restriction as it excludes the cases with asymptotically dependent X and Y. We also extend the study to the infinite-time ruin probability. Employing a multivariate regular variation framework, we simplify the formula so that it shows in a transparent way how the ruin probabilities are affected by the tail dependence of (X,Y).
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 73, March 2017, Pages 75-81
Journal: Insurance: Mathematics and Economics - Volume 73, March 2017, Pages 75-81
نویسندگان
Yiqing Chen, Zhongyi Yuan,