The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks. (English) Zbl 1401.62217
Summary: Consider a discrete-time risk model with insurance and financial risks in a stochastic economic environment. Assume that the insurance and financial risks form a sequence of independent and identically distributed random vectors with a generic random vector following a wide type of dependence structure. An asymptotic formula for the finite-time ruin probability with subexponential insurance risks is derived. In doing so, the subexponentiality of the product of two dependent random variables is investigated simultaneously.
MSC:
| 62P05 | Applications of statistics to actuarial sciences and financial mathematics |
| 91B30 | Risk theory, insurance (MSC2010) |
| 62E20 | Asymptotic distribution theory in statistics |
Keywords:
discrete-time risk model; finite-time ruin probability; subexponentiality; product; dependence structureReferences:
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