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Interplay of subexponential and dependent insurance and financial risks

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  • Chen, Yiqing

Abstract

We are interested in the ruin probability of an insurer who makes risky investments and hence faces both insurance and financial risks. Assume that the insurance and financial risks over individual periods, (Xi,Yi), i∈N, form a sequence of independent and identically distributed copies of a generic pair (X,Y) and that the pair (X,Y) possesses a weak dependence structure described via its copula. For the subexponential case, we obtain an asymptotic formula for the finite-time ruin probability as our main result, which extends a few recent works on the topic.

Suggested Citation

  • Chen, Yiqing, 2017. "Interplay of subexponential and dependent insurance and financial risks," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 78-83.
    • Handle: RePEc:eee:insuma:v:77:y:2017:i:c:p:78-83
    DOI: 10.1016/j.insmatheco.2017.08.012
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    References listed on IDEAS

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    1. Jiang, Jun & Tang, Qihe, 2011. "The product of two dependent random variables with regularly varying or rapidly varying tails," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 957-961, August.
    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. Cline, D. B. H. & Samorodnitsky, G., 1994. "Subexponentiality of the product of independent random variables," Stochastic Processes and their Applications, Elsevier, vol. 49(1), pages 75-98, January.
    4. Tang, Qihe & Tsitsiashvili, Gurami, 2003. "Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks," Stochastic Processes and their Applications, Elsevier, vol. 108(2), pages 299-325, December.
    5. Nyrhinen, Harri, 1999. "On the ruin probabilities in a general economic environment," Stochastic Processes and their Applications, Elsevier, vol. 83(2), pages 319-330, October.
    6. Nyrhinen, Harri, 2001. "Finite and infinite time ruin probabilities in a stochastic economic environment," Stochastic Processes and their Applications, Elsevier, vol. 92(2), pages 265-285, April.
    7. Chen, Yiqing & Liu, Jiajun & Liu, Fei, 2015. "Ruin with insurance and financial risks following the least risky FGM dependence structure," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 98-106.
    8. Nyrhinen, Harri, 2010. "Economic Factors and Solvency," ASTIN Bulletin, Cambridge University Press, vol. 40(2), pages 889-915, November.
    9. Jostein Paulsen, 2008. "Ruin models with investment income," Papers 0806.4125, arXiv.org, revised Dec 2008.
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    Citations

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    Cited by:

    1. Yiqing Chen & Jiajun Liu & Yang Yang, 2023. "Ruin under Light-Tailed or Moderately Heavy-Tailed Insurance Risks Interplayed with Financial Risks," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-26, March.
    2. Yang Yang & Shuang Liu & Kam Chuen Yuen, 2022. "Second-Order Tail Behavior for Stochastic Discounted Value of Aggregate Net Losses in a Discrete-Time Risk Model," Journal of Theoretical Probability, Springer, vol. 35(4), pages 2600-2621, December.

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