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Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks

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  • Yang Yang
  • Dimitrios G. Konstantinides

Abstract

Let us consider a discrete-time insurance risk model with insurance and financial risks, where the insurance net loss within period i$ i $ and the stochastic discount factor over the interval (i-1,i]$ (i-1, i] $ follow a certain dependence structure for each fixed i≥1$ i{} \ge 1 $. Under the assumption that the distribution of net insurance loss within one time period is consistently varying-tailed, precise estimates for finite and infinite time ruin probabilities are derived. Furthermore, these estimates are uniform on the time horizon.

Suggested Citation

  • Yang Yang & Dimitrios G. Konstantinides, 2015. "Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2015(8), pages 641-659, November.
    • Handle: RePEc:taf:sactxx:v:2015:y:2015:i:8:p:641-659
    DOI: 10.1080/03461238.2013.878853
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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. 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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