Abstract
We consider a discrete-time risk model with insurance and financial risks. Within period i ≥ 1, the real-valued net insurance loss caused by claims is the insurance risk, denoted by X i , and the positive stochastic discount factor over the same time period is the financial risk, denoted by Y i . Assume that {(X, Y), (X i , Y i ), i ≥ 1} form a sequence of independent identically distributed random vectors. In this paper, we investigate a discrete-time risk model allowing a dependence structure between the two risks. When (X, Y ) follows a bivariate Sarmanov distribution and the distribution of the insurance risk belongs to the class ℒ(γ) for some γ > 0, we derive the asymptotics for the finite-time ruin probability of this discrete-time risk model.
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This work is supported by the National Natural Science Foundation of China (Nos. 11401418, 71471090), the 333 Talent Training Project of Jiangsu Province, the Jiangsu Province Key Discipline in the 13th Five-Year Plan and the Graduate Research Innovation Project of SUST (No. SKCX16_056).
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Wang, K., Gao, M., Yang, Y. et al. Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks*. Lith Math J 58, 113–125 (2018). https://doi.org/10.1007/s10986-017-9378-8
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DOI: https://doi.org/10.1007/s10986-017-9378-8