Ruin Probabilities in a Dependent Discrete-Time Risk Model With Gamma-Like Tailed Insurance Risks

Xing-Fang Huang, Ting Zhang, Yang Yang and Tao Jiang
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Xing-Fang Huang: Institute of Statistics and Data Science, Nanjing Audit University, Nanjing 211815, China
Ting Zhang: Department of Statistics, Nanjing Audit University, Nanjing 211815, China
Yang Yang: Institute of Statistics and Data Science, Nanjing Audit University, Nanjing 211815, China
Tao Jiang: School of Statistics and Mathematics, Zhejiang Gongshang University, Hangzhou 310018, China

Risks, 2017, vol. 5, issue 1, 1-14

Abstract: This paper considered a dependent discrete-time risk model, in which the insurance risks are represented by a sequence of independent and identically distributed real-valued random variables with a common Gamma-like tailed distribution; the ?nancial risks are denoted by another sequence of independent and identically distributed positive random variables with a ?nite upper endpoint, but a general dependence structure exists between each pair of the insurance risks and the ?nancial risks. Following the works of Yang and Yuen in 2016, we derive some asymptotic relations for the ?nite-time and in?nite-time ruin probabilities. As a complement, we demonstrate our obtained result through a Crude Monte Carlo (CMC) simulation with asymptotics.

Keywords: discrete-time risk model; ?nite-time and in?nite-time ruin probabilities; insurance and ?nancial risks; Gamma-like tail; asymptotics (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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