ASYMPTOTICS FOR A DISCRETE-TIME RISK MODEL WITH THE EMPHASIS ON FINANCIAL RISK. Issue 4 (27th June 2014)

• Record Type: Journal Article
• Authors: Hashorva, Enkelejd; Li, Jinzhu
• Is Part Of: Probability in the engineering and informational sciences. Volume 28:Issue 4(2014)
• Page Start: 573
• Page End: 588
• Publication Date: 2014-06-27
• Subjects: Probabilities -- Periodicals; Engineering -- Statistical methods -- Periodicals; Information science -- Statistical methods -- Periodicals; 519.202462
• DOI: 10.1017/S026996481400014X
• Languages: English
• ISSNs: 0269-9648

Abstract

<abstract abstract-type="normal"> <title> <x content-type="archive" xml:space="preserve">Abstract</x> </title> <p>This paper focuses on a discrete-time risk model in which both insurance risk and financial risk are taken into account. We study the asymptotic behavior of the ruin probability and the tail probability of the aggregate risk amount. Precise asymptotic formulas are derived under weak moment conditions of involved risks. The main novelty of our results lies in the quantification of the impact of the financial risk.</p> </abstract>