The ruin probabilities of a discrete time risk model with one-sided linear claim sizes and dependent risks

Rongfei Liu, Dingcheng Wang and Fenglong Guo

Communications in Statistics - Theory and Methods, 2018, vol. 47, issue 7, 1529-1550

Abstract: This article investigates the ruin probabilities of a discrete time risk model with dependent claim sizes and dependent relation between insurance risks and financial risks. The risk-free and risky investments of an insurer lead to stochastic discount factors {θn}n ⩾ 1. The claim sizes are assumed to follow a one-sided linear process with independent and identically distributed (i.i.d.) innovations {ϵn}n ⩾ 1. The i.i.d. random pairs {(ϵn, θn)}n ⩾ 1 follow a common bivariate Sarmanov-dependent distribution. When the common distribution of the innovations is heavy tailed, we establish some asymptotic estimates for the ruin probabilities of this discrete time risk model.

Date: 2018
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DOI: 10.1080/03610926.2016.1202281

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