Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks*

被引：8
|
作者：
Wang, Kaiyong [1 ]
Gao, Miaomiao [1 ]
Yang, Yang [2 ]
Chen, Yang [1 ]
机构：
[1] Suzhou Univ Sci & Technol, Sch Math & Phys, Suzhou 215009, Peoples R China
[2] Nanjing Audit Univ, Sch Math & Stat, Nanjing 210029, Jiangsu, Peoples R China
来源：
LITHUANIAN MATHEMATICAL JOURNAL | 2018年 / 58卷 / 01期
基金：
中国国家自然科学基金;
关键词：
asymptotics; Sarmanov distribution; finite-time ruin probability; light-tailed distribution class; RANDOMLY WEIGHTED SUMS; ECONOMIC-ENVIRONMENT; TAIL PROBABILITY; RANDOM-VARIABLES; APPROXIMATION; HORIZON;
D O I：
10.1007/s10986-017-9378-8
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
We consider a discrete-time risk model with insurance and financial risks. Within period i > 1, the real-valued net insurance loss caused by claims is the insurance risk, denoted by X (i) , and the positive stochastic discount factor over the same time period is the financial risk, denoted by Y (i) . Assume that {(X, Y), (X (i) , Y (i) ), i >1} form a sequence of independent identically distributed random vectors. In this paper, we investigate a discrete-time risk model allowing a dependence structure between the two risks. When (X, Y ) follows a bivariate Sarmanov distribution and the distribution of the insurance risk belongs to the class a"'(gamma) for some gamma > 0, we derive the asymptotics for the finite-time ruin probability of this discrete-time risk model.
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页码：113 / 125
页数：13
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