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

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  • Haizhong Yang
  • Wei Gao
  • Jinzhu Li

Abstract

This contribution focuses on a discrete-time risk model in which both insurance risk and financial risk are taken into account and they are equipped with a wide type of dependence structure. We derive precise asymptotic formulas for the ruin probabilities when the insurance risk has a dominatedly varying tail. In the special case of regular variation, the corresponding formula is proved to be uniform for the time horizon.

Suggested Citation

  • Haizhong Yang & Wei Gao & Jinzhu Li, 2016. "Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2016(1), pages 1-17, January.
    • Handle: RePEc:taf:sactxx:v:2016:y:2016:i:1:p:1-17
    DOI: 10.1080/03461238.2014.884017
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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. Yuan, Meng & Lu, Dawei, 2023. "Asymptotics for a time-dependent by-claim model with dependent subexponential claims," Insurance: Mathematics and Economics, Elsevier, vol. 112(C), pages 120-141.
    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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