### Abstract

Recently, Sun and Wei (2014) studied the finite-time ruin probability under a discrete-time insurance risk model, in which the one-period insurance and financial risks are assumed to be independent and identically distributed copies of a random pair (X,Y). For the heavy-tailed case, under a restriction on the dependence structure of (X,Y), they established an asymptotic formula for the finite-time ruin probability. In this paper we make an effort to remove this restriction as it excludes the cases with asymptotically dependent X and Y. We also extend the study to the infinite-time ruin probability. Employing a multivariate regular variation framework, we simplify the formula so that it shows in a transparent way how the ruin probabilities are affected by the tail dependence of (X,Y).

Original language | English (US) |
---|---|

Pages (from-to) | 75-81 |

Number of pages | 7 |

Journal | Insurance: Mathematics and Economics |

Volume | 73 |

DOIs | |

State | Published - Mar 1 2017 |

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### All Science Journal Classification (ASJC) codes

- Statistics and Probability
- Economics and Econometrics
- Statistics, Probability and Uncertainty

### Cite this

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**A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks.** / Chen, Yiqing; Yuan, Zhongyi.

Research output: Contribution to journal › Article

TY - JOUR

T1 - A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks

AU - Chen, Yiqing

AU - Yuan, Zhongyi

PY - 2017/3/1

Y1 - 2017/3/1

N2 - Recently, Sun and Wei (2014) studied the finite-time ruin probability under a discrete-time insurance risk model, in which the one-period insurance and financial risks are assumed to be independent and identically distributed copies of a random pair (X,Y). For the heavy-tailed case, under a restriction on the dependence structure of (X,Y), they established an asymptotic formula for the finite-time ruin probability. In this paper we make an effort to remove this restriction as it excludes the cases with asymptotically dependent X and Y. We also extend the study to the infinite-time ruin probability. Employing a multivariate regular variation framework, we simplify the formula so that it shows in a transparent way how the ruin probabilities are affected by the tail dependence of (X,Y).

AB - Recently, Sun and Wei (2014) studied the finite-time ruin probability under a discrete-time insurance risk model, in which the one-period insurance and financial risks are assumed to be independent and identically distributed copies of a random pair (X,Y). For the heavy-tailed case, under a restriction on the dependence structure of (X,Y), they established an asymptotic formula for the finite-time ruin probability. In this paper we make an effort to remove this restriction as it excludes the cases with asymptotically dependent X and Y. We also extend the study to the infinite-time ruin probability. Employing a multivariate regular variation framework, we simplify the formula so that it shows in a transparent way how the ruin probabilities are affected by the tail dependence of (X,Y).

UR - http://www.scopus.com/inward/record.url?scp=85012236951&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85012236951&partnerID=8YFLogxK

U2 - 10.1016/j.insmatheco.2017.01.005

DO - 10.1016/j.insmatheco.2017.01.005

M3 - Article

AN - SCOPUS:85012236951

VL - 73

SP - 75

EP - 81

JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

SN - 0167-6687

ER -