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Interplay of subexponential and dependent insurance and financial risks

Yiqing Chen

Insurance: Mathematics and Economics, 2017, vol. 77, issue C, 78-83

Abstract: We are interested in the ruin probability of an insurer who makes risky investments and hence faces both insurance and financial risks. Assume that the insurance and financial risks over individual periods, (Xi,Yi), i∈N, form a sequence of independent and identically distributed copies of a generic pair (X,Y) and that the pair (X,Y) possesses a weak dependence structure described via its copula. For the subexponential case, we obtain an asymptotic formula for the finite-time ruin probability as our main result, which extends a few recent works on the topic.

Keywords: Asymptotics; Copula; Insurance and financial risks; Ruin probability; Subexponentiality (search for similar items in EconPapers)
Date: 2017
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Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

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Handle: RePEc:eee:insuma:v:77:y:2017:i:c:p:78-83