Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076522 | Insurance: Mathematics and Economics | 2015 | 9 Pages |
Abstract
Recently, Chen (2011) studied the finite-time ruin probability in a discrete-time risk model in which the insurance and financial risks form a sequence of independent and identically distributed random pairs with common bivariate Farlie-Gumbel-Morgenstern (FGM) distribution. The parameter θ of the FGM distribution governs the strength of dependence, with a smaller value of θ corresponding to a less risky situation. For the subexponential case with â1<θâ¤1, a general asymptotic formula for the finite-time ruin probability was derived. However, the derivation there is not valid for the least risky case θ=â1. In this paper, we complete the study by extending it to θ=â1. The new formulas for θ=â1 look very different from, but are intrinsically consistent with, the existing one for â1<θâ¤1, and they offer a quantitative understanding on how significantly the asymptotic ruin probability decreases when θ switches from its normal range to its negative extremum.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Yiqing Chen, Jiajun Liu, Fei Liu,