TY - JOUR
T1 - A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks
AU - Chen, Yiqing
AU - Yuan, Zhongyi
N1 - Funding Information:
We would like to thank a referee for very careful reading of an earlier version of this paper and especially for pointing out a mistake in our proof. We acknowledge the support from the National Natural Science Foundation of China (NSFC: 71628104). Chen also acknowledges the support from Principal Financial Group.
Publisher Copyright:
© 2017 Elsevier B.V.
Copyright:
Copyright 2017 Elsevier B.V., All rights reserved.
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).
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U2 - 10.1016/j.insmatheco.2017.01.005
DO - 10.1016/j.insmatheco.2017.01.005
M3 - Article
AN - SCOPUS:85012236951
SN - 0167-6687
VL - 73
SP - 75
EP - 81
JO - Insurance: Mathematics and Economics
JF - Insurance: Mathematics and Economics
ER -