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

Abstract

This contribution focuses on a discrete-time risk model in which both insurance risk and financial risk are taken into account and they are equipped with a wide type of dependence structure. We derive precise asymptotic formulas for the ruin probabilities when the insurance risk has a dominatedly varying tail. In the special case of regular variation, the corresponding formula is proved to be uniform for the time horizon.

Keywords:

• asymptotics
• dependence
• dominated variation
• financial risk
• insurance risk
• ruin probability

JEL classification:

• Primary: 62P05
• Secondary: 62E10
• 91B30

Acknowledgments

The authors are very grateful to the three reviewers for their insightful comments and constructive suggestions, which have helped significantly improve this paper. The work of Yang and Gao was supported by the Scientific Research Program Fund of Shaanxi Provincial Education Department (Grant Number: 2013JK0596) and the Statistical Scientific Research Program Funded by National Bureau of Statistics of China (Grant Number: 2013LZ42). The work of Li was supported by the National Natural Science Foundation of China (Grant Numbers: 11201245 and 11371020).