Estimates for the finite-time ruin probability with insurance and financial risks

2012 ◽  
Vol 28 (4) ◽  
pp. 795-806 ◽  
Author(s):  
Min Zhou ◽  
Kai-yong Wang ◽  
Yue-bao Wang
Keyword(s):  
Finite Time ◽  
Ruin Probability ◽  
Financial Risks ◽  
Finite Time Ruin Probability

scholarly journals The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks

2011 ◽  
Vol 48 (04) ◽  
pp. 1035-1048 ◽  
Author(s):  
Yiqing Chen
Keyword(s):  
Finite Time ◽  
Ruin Probability ◽  
Risk Model ◽  
Domain Of Attraction ◽  
Random Variable ◽  
Distribution Functions ◽  
Financial Risks ◽  
Finite Time Ruin Probability ◽  
Special Cases ◽  
Maximum Domain Of Attraction

Consider a discrete-time insurance risk model. Within periodi, the net insurance loss is denoted by a real-valued random variableXi. The insurer makes both risk-free and risky investments, leading to an overall stochastic discount factorYifrom timeito timei− 1. Assume that (Xi,Yi),i∈N, form a sequence of independent and identically distributed random pairs following a common bivariate Farlie-Gumbel-Morgenstern distribution with marginal distribution functionsFandG. WhenFis subexponential andGfulfills some constraints in order for the product convolution ofFandGto be subexponential too, we derive a general asymptotic formula for the finite-time ruin probability. Then, for special cases in whichFbelongs to the Fréchet or Weibull maximum domain of attraction, we improve this general formula to be transparent.

scholarly journals The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks

2011 ◽  
Vol 48 (4) ◽  
pp. 1035-1048 ◽  
Author(s):  
Yiqing Chen
Keyword(s):  
Finite Time ◽  
Ruin Probability ◽  
Risk Model ◽  
Domain Of Attraction ◽  
Random Variable ◽  
Distribution Functions ◽  
Financial Risks ◽  
Finite Time Ruin Probability ◽  
Special Cases ◽  
Maximum Domain Of Attraction

Consider a discrete-time insurance risk model. Within period i, the net insurance loss is denoted by a real-valued random variable Xi. The insurer makes both risk-free and risky investments, leading to an overall stochastic discount factor Yi from time i to time i − 1. Assume that (Xi, Yi), i ∈ N, form a sequence of independent and identically distributed random pairs following a common bivariate Farlie-Gumbel-Morgenstern distribution with marginal distribution functions F and G. When F is subexponential and G fulfills some constraints in order for the product convolution of F and G to be subexponential too, we derive a general asymptotic formula for the finite-time ruin probability. Then, for special cases in which F belongs to the Fréchet or Weibull maximum domain of attraction, we improve this general formula to be transparent.

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