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The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks

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  • Sun, Ying
  • Wei, Li

Abstract

Consider a discrete-time insurance risk model in which the insurer makes both risk-free and risky investments. Assume that the one-period insurance and financial risks form a sequence of independent and identically distributed copies of a random pair (X,Y) with dependent components. When the product XY is heavy tailed, under a mild restriction on the dependence structure of (X,Y), we establish for the finite-time ruin probability an asymptotic formula, which coincides with the long-standing one in the literature. Various important special cases are presented, showing that our work generalizes and unifies some of recent ones.

Suggested Citation

  • Sun, Ying & Wei, Li, 2014. "The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 178-183.
    • Handle: RePEc:eee:insuma:v:59:y:2014:i:c:p:178-183
    DOI: 10.1016/j.insmatheco.2014.09.010
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    References listed on IDEAS

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    Cited by:

    1. Xing-Fang Huang & Ting Zhang & Yang Yang & Tao Jiang, 2017. "Ruin Probabilities in a Dependent Discrete-Time Risk Model With Gamma-Like Tailed Insurance Risks," Risks, MDPI, vol. 5(1), pages 1-14, March.
    2. Chen, Yiqing & Yuan, Zhongyi, 2017. "A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 75-81.
    3. Abouzar Bazyari, 2023. "On the Ruin Probabilities in a Discrete Time Insurance Risk Process with Capital Injections and Reinsurance," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(2), pages 1623-1650, August.

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