The finite-time ruin probability of a discrete-time risk model with GARCH discounted factors and dependent risks

DOI10.1080/03610926.2017.1371753OpenAlexW2752444601MaRDI QIDQ5154066

Fenglong Guo, Rongfei Liu, Ding Cheng Wang

Publication date: 1 October 2021

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

Full work available at URL: https://doi.org/10.1080/03610926.2017.1371753

zbMATH Keywords

heavy-tailed distributionfinite-time ruin probabilitybivariate Sarmanov distributiondependent insurance and financial risksGARCH discounted factors

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Risk models (general) (91B05)

Related Items (3)

Ruin probability for finite negative binomial mixture claims via recurrence sequences ⋮ On the evaluation of ruin probabilities in a generalized dual binomial risk model using Markov property ⋮ Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations

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