Lithuanian Mathematical Journal

, Volume 58, Issue 1, pp 113–125 | Cite as

Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks*

  • Kaiyong Wang
  • Miaomiao Gao
  • Yang Yang
  • Yang Chen


We consider a discrete-time risk model with insurance and financial risks. Within period i ≥ 1, the real-valued net insurance loss caused by claims is the insurance risk, denoted by X i , and the positive stochastic discount factor over the same time period is the financial risk, denoted by Y i . Assume that {(X, Y), (X i , Y i ), i ≥ 1} form a sequence of independent identically distributed random vectors. In this paper, we investigate a discrete-time risk model allowing a dependence structure between the two risks. When (X, Y ) follows a bivariate Sarmanov distribution and the distribution of the insurance risk belongs to the class ℒ(γ) for some γ > 0, we derive the asymptotics for the finite-time ruin probability of this discrete-time risk model.


asymptotics Sarmanov distribution finite-time ruin probability light-tailed distribution class 


62P05 62E10 91B30 


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© Springer Science+Business Media, LLC, part of Springer Nature 2017

Authors and Affiliations

  • Kaiyong Wang
    • 1
  • Miaomiao Gao
    • 1
  • Yang Yang
    • 2
  • Yang Chen
    • 1
  1. 1.School of Mathematics and PhysicsSuzhou University of Science and TechnologySuzhouChina
  2. 2.School of Mathematics and StatisticsNanjing Audit UniversityNanjingChina

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