The ruin probabilities of a discrete time risk model with one-sided linear claim sizes and dependent risks |
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| Authors: | Rongfei Liu Fenglong Guo |
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| Institution: | 1. School of Mathematical Sciences, University of Electronic Science and Technology of China, Chengdu, P.R. China;2. Key Laboratory of Jiangsu Financial Engineering, Nanjing Audit University, Nanjing, P.R. China |
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| 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 {θn}n ? 1. The claim sizes are assumed to follow a one-sided linear process with independent and identically distributed (i.i.d.) innovations {?n}n ? 1. The i.i.d. random pairs {(?n, θn)}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. |
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| Keywords: | Asymptotic estimate Bivariate Sarmanov distribution Dependent insurance and financial risks Heavy tail One-sided linear process Ruin probability |
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