The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks

The Finite-time Ruin Probability with Dependent Insurance and Financial Risks

Consider a discrete-time insurance risk model. Within period i, the net insurance loss is denoted by a real-valued random variableXi . The insurer makes both risk-free and risky investments, leading to an overall stochastic discount factor Yi from time i to time i − 1. Assume that (Xi, Yi), i ∈ N, form a sequence of independent and identically distributed random pairs following a common bivaria...

Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks

Dependent Risks and Ruin Probabilities in Insurance

Classical risk process models in insurance rely on independency. However, especially when modelling natural events, this assumption is very restrictive. This paper proposes a new approach to introducing dependency structures between events into the model and investigates its effects on a crucial parameter for insurance companies, the probability of ruin. Explicit formulas, numerical simulations...

Ruin Probability with Constant Interest Force and Negatively Dependent Insurance Risks

In this paper, under the assumption that the claimsize is Negatively dependent subexponentially distributed and the constant interest force is considered, a simple asymptotics of ruin probability for renewal risk model within finite horizon is obtained. The results obtained extended the corresponding results of related papers.

Precise Estimates for the Ruin Probability in Finite Horizon in a Discrete-time Model with Heavy-tailed Insurance and Financial Risks

This paper investigates the probability of ruin within finite horizon for a discrete time risk model, in which the reserve of an insurance business is currently invested in a risky asset. Under assumption that the risks are heavy tailed, some precise estimates for the finite time ruin probability are derived, which confirm a folklore that the ruin probability is mainly determined by whichever o...