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Estimates for the finite-time ruin probability with insurance and financial risks

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Abstract

The paper gives estimates for the finite-time ruin probability with insurance and financial risks. When the distribution of the insurance risk belongs to the class L(γ) for some γ > 0 or the subexponential distribution class, we abtain some asymptotic equivalent relationships for the finite-time ruin probability, respectively. When the distribution of the insurance risk belongs to the dominated varying-tailed distribution class, we obtain asymptotic upper bound and lower bound for the finite-time ruin probability, where for the asymptotic upper bound, we completely get rid of the restriction of mutual independence on insurance risks, and for the lower bound, we only need the insurance risks to have a weak positive association structure. The obtained results extend and improve some existing results.

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Authors and Affiliations

  1. Department of Mathematics, Soochow University, Suzhou, 215006, China

    Min Zhou, Kai-yong Wang & Yue-bao Wang

  2. Beijing Normal University-Hongkong Baptist University United International College, Zhuhai, 519085, China

    Min Zhou

  3. School of Mathematics and Physics, Suzhou University of Science and Technology, Suzhou, 215009, China

    Kai-yong Wang

Authors
  1. Min Zhou
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  2. Kai-yong Wang
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  3. Yue-bao Wang
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Correspondence to Yue-bao Wang.

Additional information

Supported by the National Natural Science Foundation of China (No. 10671139).

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Zhou, M., Wang, Ky. & Wang, Yb. Estimates for the finite-time ruin probability with insurance and financial risks. Acta Math. Appl. Sin. Engl. Ser. 28, 795–806 (2012). https://doi.org/10.1007/s10255-012-0189-8

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  • DOI: https://doi.org/10.1007/s10255-012-0189-8

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