The Finite-time Ruin Probability with Dependent Insurance and Financial Risks
نویسندگان
چکیده
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 bivariate Farlie–Gumbel–Morgenstern distribution with marginal distribution functions F and G. When F is subexponential and G fulfills some constraints in order for the product convolution of F and G to be subexponential too, we derive a general asymptotic formula for the finite-time ruin probability. Then, for special cases in which F belongs to the Fréchet or Weibull maximum domain of attraction, we improve this general formula to be transparent.
منابع مشابه
Ruin Probabilities in a Dependent Discrete-Time Risk Model With Gamma-Like Tailed Insurance Risks
This paper considered a dependent discrete-time risk model, in which the insurance risks are represented by a sequence of independent and identically distributed real-valued random variables with a common Gamma-like tailed distribution; the financial risks are denoted by another sequence of independent and identically distributed positive random variables with a finite upper endpoint, but a gen...
متن کاملPrecise 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...
متن کاملRuin 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.
متن کاملThe impact on ruin probabilities of the association structure among financial risks
We consider a discrete-time insurance risk model, in which the financial risks constitute a stationary process with finite dimensional distributions of Farlie–Gumbel–Morgenstern type. We obtain an exact asymptotic formula for the ruin probability, reflecting the impact of this kind of association structure among the financial risks. r 2007 Elsevier B.V. All rights reserved.
متن کاملRuin with insurance and financial risks following the least risky FGM dependence structure
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 FGMdistribution governs the strength of dependence, with a smaller value of θ corresponding to a l...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2011