On the ruin probability in a dependent discrete time risk model with insurance and financial risks |
| |
| Authors: | Yang Yang,Remigijus Leipus,Jonas &Scaron iaulys |
| |
| Affiliation: | 1. School of Mathematics and Statistics, Nanjing Audit University, Nanjing 210029, China;2. Department of Mathematics, Southeast University, Nanjing 210096, China;3. Faculty of Mathematics and Informatics, Vilnius University, Naugarduko 24, Vilnius LT-03225, Lithuania;4. Institute of Mathematics and Informatics, Vilnius University, Akademijos 4, Vilnius LT-08663, Lithuania |
| |
| Abstract: | This paper considers the discrete-time risk model with insurance risk and financial risk in some dependence structures. Under assumptions that the insurance risks are heavy tailed (belong to the intersection of the long-tailed class and the dominatedly varying-tailed class) and the financial risks satisfy some moment conditions, the asymptotic and uniformly asymptotic relations for the finite-time and ultimate ruin probabilities are derived. |
| |
| Keywords: | primary, 62P05 secondary, 62E20, 60F10 |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
