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The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks

  • Yang YangEmail author
  • Jin-guan Lin
  • Zhong-quan Tan
Article

Abstract

Consider a discrete-time insurance risk model. Within period i, i ≥ 1, X i and Y i denote the net insurance loss and the stochastic discount factor of an insurer, respectively. Assume that {(X i , Y i ), i ≥ 1} form a sequence of independent and identically distributed random vectors following a common bivariate Sarmanov distribution. In the presence of heavy-tailed net insurance losses, an asymptotic formula is derived for the finite-time ruin probability.

Keywords

Asymptotics long-tailed and dominatedly-varying-tailed distribution financial and insurance risks finite-time ruin probability bivariate Sarmanov distribution 

MR Subject Classification

62P05 62E10 91B30 

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Copyright information

© Editorial Committee of Applied Mathematics-A Journal of Chinese Universities and Springer-Verlag Berlin Heidelberg 2014

Authors and Affiliations

  1. 1.School of Mathematics and StatisticsNanjing Audit UniversityNanjingChina
  2. 2.School of Economics and ManagementSoutheast UniversityNanjingChina
  3. 3.Department of MathematicsSoutheast UniversityNanjingChina
  4. 4.College of Mathematics, Physics and Information EngineeringJiaxing UniversityJiaxingChina

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