Estimate for the Finite-time Ruin Probability in the Discrete-time Risk Model with Insurance and Financial Risks

DOI10.1080/03610926.2012.715711zbMath1458.62258OpenAlexW2030793053MaRDI QIDQ2876190

Yang Yang

Publication date: 18 August 2014

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2012.715711

zbMATH Keywords

subexponential distributionfinite-time ruin probabilityGumbel maximum domain of attractiondiscrete-time risk model with insurance and financial risksextended-varying-tailed distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Extreme value theory; extremal stochastic processes (60G70)

Cites Work

• Unnamed Item
• Conditional limit results for type I polar distributions
• Asymptotics of random contractions
• Tail asymptotics under beta random scaling
• Asymptotic properties of type I elliptical random vectors
• On the ruin probabilities in a general economic environment
• Finite and infinite time ruin probabilities in a stochastic economic environment.
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance

This page was built for publication: Estimate for the Finite-time Ruin Probability in the Discrete-time Risk Model with Insurance and Financial Risks