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The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks
Affiliation:1. Anhui Jianzhu University, Hefei 230601, Anhui, China;2. School of Finance, Renmin University of China, Beijing, 100872, China;3. China Financial Policy Research Center, Renmin University of China, Beijing, 100872, China;1. Department of Finance and Insurance, Hongik University, 2639 Sejong-ro, Jochiwon-eup, Sejong, 339-701, Republic of Korea;2. Department of Statistics and Actuarial Science, University of Waterloo, 200 University Avenue West, Waterloo, ON, Canada;1. University of Regina, Regina, Saskatchewan, Canada;2. Soongsil University, Seoul, Republic of Korea
Abstract:
Keywords:Asymptotics  Dependence  Finite-time ruin probability  Heavy-tailed distribution  Insurance and financial risks  Product
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