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

Haizhong Yang, Wei Gao and Jinzhu Li

Scandinavian Actuarial Journal, 2016, vol. 2016, issue 1, 1-17

Abstract: This contribution focuses on a discrete-time risk model in which both insurance risk and financial risk are taken into account and they are equipped with a wide type of dependence structure. We derive precise asymptotic formulas for the ruin probabilities when the insurance risk has a dominatedly varying tail. In the special case of regular variation, the corresponding formula is proved to be uniform for the time horizon.

Date: 2016
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DOI: 10.1080/03461238.2014.884017

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