Sun, Y., L. Wei——Insurance:Mathematics and Economics: The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks
时间:2014-11-23
Consider a discrete-time insurance risk model in which the insurer makes both risk-free and risky investments. Assume that the one-period insurance and financial risks form a sequence of independent and identically distributed copies of a random pair (X,Y) ( X , Y ) mathContainer Loading Mathjax with dependent components. When the product XY X Y mathContainer Loading Mathjax is heavy tailed, under a mild restriction on the dependence structure of (X,Y) ( X , Y ) mathContainer Loading Mathjax , w