Finite time ruin probability with heavy-tailed insurance and financial risks

Yu Chen and Chun Su

Statistics & Probability Letters, 2006, vol. 76, issue 16, 1812-1820

Abstract: This paper studies the probability of ruin within a finite time for a discrete-time model, in which the insurance risk is assumed to be heavy tailed. A precise asymptotic estimate for the finite-time ruin probability is established as the initial capital increases, extending the corresponding result of Tang and Tsitsashvili [2003. Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks. Stochastic Process. Appl. 108, 299-325] to the subexponential case.

Keywords: Subexponentiality; Independent; product; Ruin; probability; Financial; risk; Insurance; risk (search for similar items in EconPapers)
Date: 2006
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