The ruin probabilities of a discrete time risk model with one-sided linear claim sizes and dependent risks. Issue 7 (3rd April 2018)

• Record Type: Journal Article
• Authors: Liu, Rongfei; Wang, Dingcheng; Guo, Fenglong
• Is Part Of: Communications in statistics. Volume 47:Issue 7(2018)
• Page Start: 1529
• Page End: 1550
• Publication Date: 2018-04-03
• Subjects: Asymptotic estimate -- Bivariate Sarmanov distribution -- Dependent insurance and financial risks -- Heavy tail -- One-sided linear process -- Ruin probability.; 62P05; Mathematical statistics -- Periodicals; Mathematics; Statistics; 519.2
• DOI: 10.1080/03610926.2016.1202281
• Languages: English
• ISSNs: 0361-0926

Abstract

ABSTRACT: This article investigates the ruin probabilities of a discrete time risk model with dependent claim sizes and dependent relation between insurance risks and financial risks. The risk-free and risky investments of an insurer lead to stochastic discount factors {θ n } n ⩾ 1 . The claim sizes are assumed to follow a one-sided linear process with independent and identically distributed (i.i.d.) innovations {ϵ n } n ⩾ 1 . The i.i.d. random pairs {(ϵ n, θ n )} n ⩾ 1 follow a common bivariate Sarmanov-dependent distribution. When the common distribution of the innovations is heavy tailed, we establish some asymptotic estimates for the ruin probabilities of this discrete time risk model.