The Finite-time Ruin Probability of a Discrete-time Risk Model with Subexponential and Dependent Insurance and Financial Risks
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Consider a discrete-time risk model with insurance and financial risks in a stochastic economic environment. Assume that the insurance and financial risks form a sequence of independent and identically distributed random vectors with a generic random vector following a wide type of dependence structure. An asymptotic formula for the finite-time ruin probability with subexponential insurance risks is derived. In doing so, the subexponentiality of the product of two dependent random variables is investigated simultaneously.
Keywordsdiscrete-time risk model finite-time ruin probability subexponentiality product dependence structure
2000 MR Subject Classification62P05 62E10 91B30
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This work was finished during a one-year research visit of the first author to The University of Iowa. He would like to thank the Department of Statistics and Actuarial Science for its excellent hospitality. The authors would also like to thank an anonymous referee for her/his constructive and insightful suggestions that helped us to greatly improve the presentation of this paper.