Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076605 | Insurance: Mathematics and Economics | 2014 | 15 Pages |
Abstract
Consider a discrete-time insurance risk model in which the insurer makes both risk-free and risky investments. Assume that the one-period insurance and financial risks form a sequence of independent and identically distributed copies of a random pair (X,Y) with dependent components. When the product XY is heavy tailed, under a mild restriction on the dependence structure of (X,Y), we establish for the finite-time ruin probability an asymptotic formula, which coincides with the long-standing one in the literature. Various important special cases are presented, showing that our work generalizes and unifies some of recent ones.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Ying Sun, Li Wei,