Advanced search
Publication Cover
Scandinavian Actuarial Journal Volume 2016, 2016 - Issue 1
Submit an article Journal homepage
771
Views
23
CrossRef citations to date
0
Altmetric
Articles

Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks

Haizhong YangEconomic Research Center, Northwestern Polytechnical University, Xi’an, P.R. China.
,
Wei GaoSchool of Statistics, Xi’an University of Finance and Economics, Xi’an, P.R. China.
&
Jinzhu LiSchool of Mathematical Science and LPMC, Nankai University, Tianjin, China.Correspondence[email protected]
Pages 1-17 | Received 26 Sep 2013, Accepted 13 Jan 2014, Published online: 05 Feb 2014

Citations (23)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (6)

Cary Chi-Liang Tsai & Adelaide Di Wu. (2020) Bühlmann Credibility-Based Approaches to Modeling Mortality Rates for Multiple Populations. North American Actuarial Journal 24:2, pages 290-315.
Read now
Jikun Chen, Hui Xu & Fengyang Cheng. (2019) The product distribution of dependent random variables with applications to a discrete-time risk model. Communications in Statistics - Theory and Methods 48:13, pages 3325-3340.
Read now
Qihe Tang & Yang Yang. (2019) Interplay of insurance and financial risks in a stochastic environment. Scandinavian Actuarial Journal 2019:5, pages 432-451.
Read now
Shijie Wang, Yiyu Hu, LianQiang Yang & Wensheng Wang. (2018) Randomly weighted sums under a wide type of dependence structure with application to conditional tail expectation. Communications in Statistics - Theory and Methods 47:20, pages 5054-5063.
Read now
Shijie Wang, Cen Chen & Xuejun Wang. (2017) Some novel results on pairwise quasi-asymptotical independence with applications to risk theory. Communications in Statistics - Theory and Methods 46:18, pages 9075-9085.
Read now
Ekaterina Bulinskaya & Julia Gusak. (2016) Optimal Control and Sensitivity Analysis for Two Risk Models. Communications in Statistics - Simulation and Computation 45:5, pages 1451-1466.
Read now

Articles from other publishers (17)

Mantas Dirma, Neda Nakliuda & Jonas Šiaulys. (2023) Generalized moments of sums with heavy-tailed random summands. Lithuanian Mathematical Journal.
Crossref
Yiqing Chen, Jiajun Liu & Yang Yang. (2023) Ruin under Light-Tailed or Moderately Heavy-Tailed Insurance Risks Interplayed with Financial Risks. Methodology and Computing in Applied Probability 25:1.
Crossref
Yang Yang, Shuang Liu & Kam Chuen Yuen. (2022) Second-Order Tail Behavior for Stochastic Discounted Value of Aggregate Net Losses in a Discrete-Time Risk Model. Journal of Theoretical Probability 35:4, pages 2600-2621.
Crossref
Eglė Jaunė & Jonas Šiaulys. (2022) Asymptotic risk decomposition for regularly varying distributions with tail dependence. Applied Mathematics and Computation 427, pages 127164.
Crossref
Fenglong Guo. (2022) Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors. Applied Mathematics and Computation 413, pages 126634.
Crossref
Mantas Dirma, Saulius Paukštys & Jonas Šiaulys. (2021) Tails of the Moments for Sums with Dominatedly Varying Random Summands. Mathematics 9:8, pages 824.
Crossref
Yu Chen, Dan Chen & Wenxue Gao. (2018) Extensions of Breiman’s Theorem of Product of Dependent Random Variables with Applications to Ruin Theory. Communications in Mathematics and Statistics 7:1, pages 1-23.
Crossref
Jinzhu Li. (2018) A revisit to asymptotic ruin probabilities for a bidimensional renewal risk model. Statistics & Probability Letters 140, pages 23-32.
Crossref
Alexandru V. Asimit & Jinzhu Li. (2018) Measuring the tail risk: An asymptotic approach. Journal of Mathematical Analysis and Applications 463:1, pages 176-197.
Crossref
Shi-jie Wang, Chuan-wei Zhang, Xue-jun Wang & Wen-sheng Wang. (2018) The Finite-time Ruin Probability of a Discrete-time Risk Model with Subexponential and Dependent Insurance and Financial Risks. Acta Mathematicae Applicatae Sinica, English Series 34:3, pages 553-565.
Crossref
Alexandru V. Asimit & Jinzhu Li. (2017) SYSTEMIC RISK: AN ASYMPTOTIC EVALUATION. ASTIN Bulletin 48:02, pages 673-698.
Crossref
Ekaterina Bulinskaya & Julia Gusak. 2018. Statistics and Simulation. Statistics and Simulation 171 185 .
Ekaterina Bulinskaya. 2017. Modern Problems of Stochastic Analysis and Statistics. Modern Problems of Stochastic Analysis and Statistics 349 408 .
Jinzhu Li. (2016) Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return. Insurance: Mathematics and Economics 71, pages 195-204.
Crossref
Alexandru Vali Asimit & Jinzhu Li. (2017) Measuring the Tail Risk: An Asymptotic Approach. SSRN Electronic Journal.
Crossref
Alexandru Vali Asimit & Jinzhu Li. (2017) Systemic Risk: An Asymptotic Evaluation. SSRN Electronic Journal.
Crossref
Jinzhu Li. (2016) A Revisit to Asymptotic Ruin Probabilities for a Bidimensional Renewal Risk Model. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.