Publication date: Available online 4 February 2017
Source:Insurance: Mathematics and Economics
Author(s): Yiqing Chen, Zhongyi Yuan
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 . For the heavy-tailed case, under a restriction on the dependence structure of , 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 and . 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 .
Source:Insurance: Mathematics and Economics
Author(s): Yiqing Chen, Zhongyi Yuan