Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks
Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks
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DOI：
10.1016/j.spa.2003.07.001
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发表时间：
2003-12-01
影响因子：
1.4
通讯作者：
Tsitsiashvili, G
中科院分区：
文献类型：
--
作者：
Tang, QH;Tsitsiashvili, G
研究了一类离散时间风险模型的破产概率，其中保险公司的准备金投资于风险资产。在风险重尾的假设下，得到了有限时间破产概率的精确估计，证实了破产概率主要取决于保险风险和金融风险中的哪一个更重的说法.此外，还对独立随机变量和与积的重尾性进行了一些讨论，其中大多数都有自己的优点。(C)2003 Elsevier B.V.保留所有权利。
This paper investigates the probability of ruin within finite horizon for a discrete time risk model, in which the reserve of an insurance business is currently invested in a risky asset. Under assumption that the risks are heavy tailed, some precise estimates for the finite time ruin probability are derived, which confirm a folklore that the ruin probability is mainly determined by whichever of insurance risk and financial risk is heavier than the other. In addition, some discussions on the heavy tails of the sum and product of independent random variables are involved, most of which have their own merits. (C) 2003 Elsevier B.V. All rights reserved.