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The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks |
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| Authors: | Yang Yang Jin-guan Lin Zhong-quan Tan |
| Institution: | 1. School of Mathematics and Statistics, Nanjing Audit University, Nanjing, 211815, China 2. School of Economics and Management, Southeast University, Nanjing, 210096, China 3. Department of Mathematics, Southeast University, Nanjing, 210096, China 4. College of Mathematics, Physics and Information Engineering, Jiaxing University, Jiaxing, 314001, China |
| Abstract: | Consider a discrete-time insurance risk model. Within period i, i ≥ 1, X i and Y i denote the net insurance loss and the stochastic discount factor of an insurer, respectively. Assume that {(X i , Y i ), i ≥ 1} form a sequence of independent and identically distributed random vectors following a common bivariate Sarmanov distribution. In the presence of heavy-tailed net insurance losses, an asymptotic formula is derived for the finite-time ruin probability. |
| Keywords: | Asymptotics long-tailed and dominatedly-varying-tailed distribution financial and insurancerisks finite-time ruin probability bivariate Sarmanov distribution |
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