The Finite-time Ruin Probability of a Discrete-time Risk Model with Subexponential and Dependent Insurance and Financial Risks |
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Authors: | Shi-jie Wang Chuan-wei Zhang Xue-jun Wang Wen-sheng Wang |
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Institution: | 1.School of Mathematic Sciences,Anhui University,Hefei,China;2.School of Economics,Hangzhou Dianzi University,Hangzhou,China |
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Abstract: | Consider a discrete-time risk model with insurance and financial risks in a stochastic economic environment. Assume that the insurance and financial risks form a sequence of independent and identically distributed random vectors with a generic random vector following a wide type of dependence structure. An asymptotic formula for the finite-time ruin probability with subexponential insurance risks is derived. In doing so, the subexponentiality of the product of two dependent random variables is investigated simultaneously. |
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