Coleção: ArtigosTítulo: The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks / Ying Sun, Li WeiAutor: Sun, YingNotas: Sumario: 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.Registros relacionados: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 03/11/2014 Volumen 59 Número 1 - noviembre 2014 Outras classificações: 6Direitos: In Copyright (InC)Referencias externas:
