ASYMPTOTIC RUIN PROBABILITIES IN FINITE HORIZON WITH SUBEXPONENTIAL LOSSES AND ASSOCIATED DISCOUNT FACTORS

2005 ◽  
Vol 20 (1) ◽  
pp. 103-113 ◽  
Author(s):  
Qihe Tang
Keyword(s):  
Stochastic Processes ◽  
Discrete Time ◽  
Finite Time ◽  
Ruin Probability ◽  
Risk Model ◽  
Ruin Probabilities ◽  
Insurance Risk ◽  
Finite Time Ruin Probability ◽  
Discount Factors ◽  
Subexponential Class

Consider a discrete-time insurance risk model with risky investments. Under the assumption that the loss distribution belongs to a certain subclass of the subexponential class, Tang and Tsitsiashvili (Stochastic Processes and Their Applications 108(2): 299–325 (2003)) established a precise estimate for the finite time ruin probability. This article extends the result both to the whole subexponential class and to a nonstandard case with associated discount factors.

On the De Vylder and Goovaerts Conjecture About Ruin for Equalized Claims

2014 ◽  
Vol 51 (03) ◽  
pp. 874-879 ◽  
Author(s):  
C. Y. Robert
Keyword(s):  
Open Problem ◽  
Finite Time ◽  
Ruin Probability ◽  
Risk Model ◽  
Ruin Probabilities ◽  
Ruin Theory ◽  
Finite Time Ruin Probability

In ruin theory, the conjecture given in De Vylder and Goovaerts (2000) is an open problem about the comparison of the finite time ruin probability in a homogeneous risk model and the corresponding ruin probability evaluated in the associated model with equalized claim amounts. In this paper we consider a weaker version of the conjecture and show that the integrals of the ruin probabilities with respect to the initial risk reserve are uniformly comparable.

The Finite-time Ruin Probability of a Discrete-time Risk Model with Subexponential and Dependent Insurance and Financial Risks

2018 ◽  
Vol 34 (3) ◽  
pp. 553-565 ◽  
Author(s):  
Shi-jie Wang ◽  
Chuan-wei Zhang ◽  
Xue-jun Wang ◽  
Wen-sheng Wang
Keyword(s):  
Discrete Time ◽  
Finite Time ◽  
Ruin Probability ◽  
Risk Model ◽  
Financial Risks ◽  
Finite Time Ruin Probability

Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks*

2017 ◽  
Vol 58 (1) ◽  
pp. 113-125 ◽  
Author(s):  
Kaiyong Wang ◽  
Miaomiao Gao ◽  
Yang Yang ◽  
Yang Chen
Keyword(s):  
Discrete Time ◽  
Finite Time ◽  
Ruin Probability ◽  
Risk Model ◽  
Financial Risks ◽  
Finite Time Ruin Probability

scholarly journals Ruin probability analysis in geometric inhomogeneous claims case

2011 ◽  
Vol 52 ◽  
Author(s):  
Eugenija Bieliauskienė
Keyword(s):  
Discrete Time ◽  
Finite Time ◽  
Ruin Probability ◽  
Risk Model ◽  
Geometric Distribution ◽  
Probability Analysis ◽  
Finite Time Ruin Probability

The discrete time risk model with inhomogeneous claims is analyzed. The finite time ruin probability expression is obtained for the case when claims are distributed by geometric distribution with changing parameters. Some quantitave examples are also given.

scholarly journals On the De Vylder and Goovaerts Conjecture About Ruin for Equalized Claims

2014 ◽  
Vol 51 (3) ◽  
pp. 874-879 ◽  
Author(s):  
C. Y. Robert
Keyword(s):  
Open Problem ◽  
Finite Time ◽  
Ruin Probability ◽  
Risk Model ◽  
Ruin Probabilities ◽  
Ruin Theory ◽  
Finite Time Ruin Probability

In ruin theory, the conjecture given in De Vylder and Goovaerts (2000) is an open problem about the comparison of the finite time ruin probability in a homogeneous risk model and the corresponding ruin probability evaluated in the associated model with equalized claim amounts. In this paper we consider a weaker version of the conjecture and show that the integrals of the ruin probabilities with respect to the initial risk reserve are uniformly comparable.

The finite-time ruin probability of a discrete-time risk model with GARCH discounted factors and dependent risks

2017 ◽  
Vol 47 (17) ◽  
pp. 4170-4186 ◽  
Author(s):  
Rongfei Liu ◽  
Dingcheng Wang ◽  
Fenglong Guo
Keyword(s):  
Discrete Time ◽  
Finite Time ◽  
Ruin Probability ◽  
Risk Model ◽  
Finite Time Ruin Probability ◽  
Dependent Risks
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