The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks
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<title>finite-time ruin probability with heavy-tailed and dependent insurance and financial risks</title>
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<namePart>Sun, Ying</namePart>
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<abstract displayLabel="Summary">Consider a discrete-time insurance risk model in which the insurer makes both risk-free and risky investments. Assume that the one-period insurance and financial risks form a sequence of independent and identically distributed copies of a random pair (X,Y) with dependent components. When the product XY is heavy tailed, under a mild restriction on the dependence structure of (X,Y), we establish for the finite-time ruin probability an asymptotic formula, which coincides with the long-standing one in the literature. Various important special cases are presented, showing that our work generalizes and unifies some of recent ones.</abstract>
<note type="statement of responsibility">Ying Sun, Li Wei</note>
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<title>Insurance : mathematics and economics</title>
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<publisher>Oxford : Elsevier, 1990-</publisher>
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<identifier type="issn">0167-6687</identifier>
<identifier type="local">MAP20077100574</identifier>
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<text>03/11/2014 Volumen 59 Número 1 - noviembre 2014 </text>
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