Authors
Yang Yang, Dimitrios G Konstantinides
Publication date
2015/11/17
Journal
Scandinavian Actuarial Journal
Volume
2015
Issue
8
Pages
641-659
Publisher
Taylor & Francis
Description
Let us consider a discrete-time insurance risk model with insurance and financial risks, where the insurance net loss within period and the stochastic discount factor over the interval follow a certain dependence structure for each fixed. Under the assumption that the distribution of net insurance loss within one time period is consistently varying-tailed, precise estimates for finite and infinite time ruin probabilities are derived. Furthermore, these estimates are uniform on the time horizon.
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