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

作　　者：YANG Yang LIN Jin-guan TAN Zhong-quan 

机构地区：[1]School of Mathematics and Statistics, Nanjing Audit University [2]School of Economics and Management, Southeast University [3]Department of Mathematics, Southeast University [4]College of Mathematics, Physics and Information Engineering, Jiaxing University

出　　处：《Applied Mathematics(A Journal of Chinese Universities)》2014年第2期194-204,共11页高校应用数学学报（英文版）（B辑）

基　　金：Supported by the National Natural Science Foundation of China(11001052,11171065,11326175);China Postdoctoral Science Foundation(2012M520964);Natural Science Foundation of Jiangsu Province ofChina(BK20131339);Postdoctoral Research Program of Jiangsu Province(1302015C);Qing Lan Project and Project of Construction for Superior Subjects of Statistics&Audit Science and Technology of Jiangsu Higher Education Institutions

摘　　要：Consider a discrete-time insurance risk model. Within period i, i≥ 1, Xi and Yi denote the net insurance loss and the stochastic discount factor of an insurer, respectively. Assume that {（Xi, Yi）, 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.Consider a discrete-time insurance risk model. Within period i, i≥ 1, Xi and Yi denote the net insurance loss and the stochastic discount factor of an insurer, respectively. Assume that {（Xi, Yi）, 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.

关 键 词：ASYMPTOTICS long-tailed and dominatedly-varying-tailed distribution financial and insurancerisks finite-time ruin probability bivariate Sarmanov distribution. 

分 类 号：F224[经济管理—国民经济] F840