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<p>Consider a discrete-time risk model to characterize an insurer’s business, in which there exist insurance and financial risks. We consider the impact of the dependence structure between the insurance and financial risks on ruin probabilities. When the insurance and financial risks follow a general dependence structure and the insurance risks follow light-tailed distributions or moderately heavy-tailed distributions, under the framework of risk-free investment, we obtain the asymptotics of both the finite- and infinite-time ruin probabilities for the dependent discrete-time risk model.</p>

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Ruin probabilities of a discrete-time risk model with a dependence structure among insurance and financial risks

  • 期刊论文

  • 发表日期：

    2025年7月1日

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  • Lingqi Yu,
  • Kaiyong Wang

摘要

Consider a discrete-time risk model to characterize an insurer’s business, in which there exist insurance and financial risks. We consider the impact of the dependence structure between the insurance and financial risks on ruin probabilities. When the insurance and financial risks follow a general dependence structure and the insurance risks follow light-tailed distributions or moderately heavy-tailed distributions, under the framework of risk-free investment, we obtain the asymptotics of both the finite- and infinite-time ruin probabilities for the dependent discrete-time risk model.