Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks

DOI10.1007/s10986-017-9378-8zbMath1458.62255OpenAlexW2779265154MaRDI QIDQ1754541

Yang Chen, Yang Yang, Miaomiao Gao, Kai Yong Wang

Publication date: 31 May 2018

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-017-9378-8

zbMATH Keywords

asymptoticsfinite-time ruin probabilitySarmanov distributionlight-tailed distribution class

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10) Risk models (general) (91B05) Actuarial mathematics (91G05)

Related Items (6)

Bayesian optimal investment and reinsurance with dependent financial and insurance risks ⋮ Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure ⋮ On a closure property of convolution equivalent class of distributions ⋮ Optimal investment strategy for an insurer with partial information in capital and insurance markets ⋮ Tails of higher-order moments with dominatedly varying summands ⋮ Asymptotics for the sum of three state Markov dependent random variables

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