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

Yiqing Chen, Zhongyi Yuan

Research output: Contribution to journalArticlepeer-review

4 Scopus citations

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 languageEnglish (US)
Pages (from-to)75-81
Number of pages7
JournalInsurance: Mathematics and Economics
Volume73
DOIs
StatePublished - Mar 1 2017

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty

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