Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4613870 | Journal of Mathematical Analysis and Applications | 2016 | 15 Pages |
Abstract
Following the work of Sun and Wei (2014) [7], we investigate the ruin probabilities of a discrete-time insurance risk model with dependent insurance and financial risks. Assume that the one-period net insurance losses and discount factors form a sequence of independent and identically distributed copies of a random pair (X,θ)(X,θ). When the product Xθ is heavy tailed, we establish an asymptotic formula for the finite-time ruin probability without any restriction on the dependence structure of (X,θ)(X,θ) and extend the result to the infinite time ruin probability.
Related Topics
Physical Sciences and Engineering
Mathematics
Analysis
Authors
Rongfei Liu, Dingcheng Wang,