Finite time ruin probability with heavy-tailed insurance and financial risks. (English) Zbl 1171.91348

Chen, Yu; Su, Chun

Stat. Probab. Lett. 76, No. 16, 1812-1820 (2006).

Summary: The probability of ruin within a finite time for a discrete-time model, in which the insurance risk is assumed to be heavy tailed. A precise asymptotic estimate for the finite-time ruin probability is established as the initial capital increases, extending the corresponding result of Q. Tang and G. Tsitsiashvilli [Stochastic Processes 108, 299–325 (2003; Zbl 1075.91563)] to the subexponential case.

MSC:

91B30	Risk theory, insurance (MSC2010)
62P05	Applications of statistics to actuarial sciences and financial mathematics
60K99	Special processes

Keywords:

subexponentiality; independent product; ruin probability; financial risk; insurance risk

Citations:

Zbl 1075.91563

References:

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