Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

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

Estimates for the finite-time ruin probability with insurance and financial risks 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Mathematicae Applicatae Sinica Springer Journals

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

Loading next page...
 
/lp/springer-journals/estimates-for-the-finite-time-ruin-probability-with-insurance-and-Exgsk0RKKG

References (22)

Publisher
Springer Journals
Copyright
Copyright © 2012 by Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences and Springer-Verlag Berlin Heidelberg
Subject
Mathematics; Applications of Mathematics; Theoretical, Mathematical and Computational Physics; Math Applications in Computer Science
ISSN
0168-9673
eISSN
1618-3932
DOI
10.1007/s10255-012-0189-8
Publisher site
See Article on Publisher Site

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.

Journal

Acta Mathematicae Applicatae SinicaSpringer Journals

Published: Nov 21, 2012

There are no references for this article.