Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks

Yang Yang and Dimitrios G. Konstantinides

Scandinavian Actuarial Journal, 2015, vol. 2015, issue 8, 641-659

Abstract: Let us consider a discrete-time insurance risk model with insurance and financial risks, where the insurance net loss within period i$ i $ and the stochastic discount factor over the interval (i-1,i]$ (i-1, i] $ follow a certain dependence structure for each fixed i≥1$ i{} \ge 1 $. Under the assumption that the distribution of net insurance loss within one time period is consistently varying-tailed, precise estimates for finite and infinite time ruin probabilities are derived. Furthermore, these estimates are uniform on the time horizon.

Date: 2015
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DOI: 10.1080/03461238.2013.878853

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