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Article: Interplay of financial and insurance risks in dependent discrete-time risk models

TitleInterplay of financial and insurance risks in dependent discrete-time risk models
Authors
KeywordsAsymptotics
Convolution equivalence
Strongly regular variation
Bivariate Sarmanov distribution
Issue Date2020
PublisherElsevier BV, North-Holland. The Journal's web site is located at http://www.elsevier.com/locate/issn/01677152
Citation
Statistics and Probability Letters, 2020, v. 162, p. article no. 108752 How to Cite?
AbstractConsider a discrete-time insurance risk model with two kinds of risks, i.e., insurance and financial risks. Within period i, the real-valued net insurance loss caused by traditional claims is regarded as the insurance risk, denoted by Xi, and the positive stochastic discount factor over the same time period is the financial risk, denoted by Yi . Assume that {(X,Y), (Xi,Yi), i>=1} form a sequence of independent and identically distributed random vectors. This work investigates the interplay of the insurance and financial risks, allowing a dependence structure exists between these two kinds of risks. Following the work of Li and Tang (2015), we derive some asymptotic and uniformly asymptotic formulas for the finite-time and infinite-time ruin probabilities, under the assumption that the generic random vector (X,Y) follows a bivariate Sarmanov distribution and every convex combination of the distributions of X and Y is of strongly regular variation. As an extension, we further consider a general pair (X,Y), whose dependence structure is more verifiable than the Sarmanov one to some extent. In such a setting, we study the asymptotic tail behavior of the product XY, which forms an analogue of the well-known Breiman’s theorem in a different and dependent situation.
Persistent Identifierhttp://hdl.handle.net/10722/281704
ISSN
2023 Impact Factor: 0.9
2023 SCImago Journal Rankings: 0.448
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorYang, Y-
dc.contributor.authorJiang, T-
dc.contributor.authorWang, K-
dc.contributor.authorYuen, KC-
dc.date.accessioned2020-03-22T04:18:32Z-
dc.date.available2020-03-22T04:18:32Z-
dc.date.issued2020-
dc.identifier.citationStatistics and Probability Letters, 2020, v. 162, p. article no. 108752-
dc.identifier.issn0167-7152-
dc.identifier.urihttp://hdl.handle.net/10722/281704-
dc.description.abstractConsider a discrete-time insurance risk model with two kinds of risks, i.e., insurance and financial risks. Within period i, the real-valued net insurance loss caused by traditional claims is regarded as the insurance risk, denoted by Xi, and the positive stochastic discount factor over the same time period is the financial risk, denoted by Yi . Assume that {(X,Y), (Xi,Yi), i>=1} form a sequence of independent and identically distributed random vectors. This work investigates the interplay of the insurance and financial risks, allowing a dependence structure exists between these two kinds of risks. Following the work of Li and Tang (2015), we derive some asymptotic and uniformly asymptotic formulas for the finite-time and infinite-time ruin probabilities, under the assumption that the generic random vector (X,Y) follows a bivariate Sarmanov distribution and every convex combination of the distributions of X and Y is of strongly regular variation. As an extension, we further consider a general pair (X,Y), whose dependence structure is more verifiable than the Sarmanov one to some extent. In such a setting, we study the asymptotic tail behavior of the product XY, which forms an analogue of the well-known Breiman’s theorem in a different and dependent situation.-
dc.languageeng-
dc.publisherElsevier BV, North-Holland. The Journal's web site is located at http://www.elsevier.com/locate/issn/01677152-
dc.relation.ispartofStatistics and Probability Letters-
dc.subjectAsymptotics-
dc.subjectConvolution equivalence-
dc.subjectStrongly regular variation-
dc.subjectBivariate Sarmanov distribution-
dc.titleInterplay of financial and insurance risks in dependent discrete-time risk models-
dc.typeArticle-
dc.identifier.emailYuen, KC: kcyuen@hku.hk-
dc.identifier.authorityYuen, KC=rp00836-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.spl.2020.108752-
dc.identifier.scopuseid_2-s2.0-85081745887-
dc.identifier.hkuros309455-
dc.identifier.volume162-
dc.identifier.spagearticle no. 108752-
dc.identifier.epagearticle no. 108752-
dc.identifier.isiWOS:000528249000007-
dc.publisher.placeNetherlands-
dc.identifier.issnl0167-7152-

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