Estimate for the Finite-time Ruin Probability in the Discrete-time Risk Model with Insurance and Financial Risks

Yang Yang

Communications in Statistics - Theory and Methods, 2014, vol. 43, issue 10-12, 2094-2104

Abstract: In this article, we consider a discrete-time risk model with insurance and financial risks. We derive some refinements of a general asymptotic formula for the finite-time ruin probability under the assumptions that the net losses follow a common distribution in the intersection between the subexponential class and the Gumbel maximum domain of attraction, and the stochastic discount factors of the risky asset have a common distribution with extended regular variation. The obtained asymptotic upper and lower bounds are transparent and computable.

Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2012.715711 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:43:y:2014:i:10-12:p:2094-2104

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2012.715711

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().