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The ruin probabilities of a discrete time risk model with one-sided linear claim sizes and dependent risks

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  • Rongfei Liu
  • Dingcheng Wang
  • Fenglong Guo

Abstract

This article investigates the ruin probabilities of a discrete time risk model with dependent claim sizes and dependent relation between insurance risks and financial risks. The risk-free and risky investments of an insurer lead to stochastic discount factors {θn}n ⩾ 1. The claim sizes are assumed to follow a one-sided linear process with independent and identically distributed (i.i.d.) innovations {ϵn}n ⩾ 1. The i.i.d. random pairs {(ϵn, θn)}n ⩾ 1 follow a common bivariate Sarmanov-dependent distribution. When the common distribution of the innovations is heavy tailed, we establish some asymptotic estimates for the ruin probabilities of this discrete time risk model.

Suggested Citation

  • Rongfei Liu & Dingcheng Wang & Fenglong Guo, 2018. "The ruin probabilities of a discrete time risk model with one-sided linear claim sizes and dependent risks," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 47(7), pages 1529-1550, April.
    • Handle: RePEc:taf:lstaxx:v:47:y:2018:i:7:p:1529-1550
    DOI: 10.1080/03610926.2016.1202281
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    Cited by:

    1. 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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