The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks

Ying Sun and Li Wei

Insurance: Mathematics and Economics, 2014, vol. 59, issue C, 178-183

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: Asymptotics; Dependence; Finite-time ruin probability; Heavy-tailed distribution; Insurance and financial risks; Product (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:59:y:2014:i:c:p:178-183

DOI: 10.1016/j.insmatheco.2014.09.010

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