Ruin Probabilities in a Dependent Discrete-Time Risk Model With Gamma-Like Tailed Insurance Risks
This paper considered a dependent discrete-time risk model, in which the insurance risks are represented by a sequence of independent and identically distributed real-valued random variables with a common Gamma-like tailed distribution; the financial risks are denoted by another sequence of independe...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2017-03-01
|
| Series: | Risks |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2227-9091/5/1/14 |
| _version_ | 1817994551786209280 |
|---|---|
| author | Xing-Fang Huang Ting Zhang Yang Yang Tao Jiang |
| author_facet | Xing-Fang Huang Ting Zhang Yang Yang Tao Jiang |
| author_sort | Xing-Fang Huang |
| collection | DOAJ |
| description | This paper considered a dependent discrete-time risk model, in which the insurance risks are represented by a sequence of independent and identically distributed real-valued random variables with a common Gamma-like tailed distribution; the financial risks are denoted by another sequence of independent and identically distributed positive random variables with a finite upper endpoint, but a general dependence structure exists between each pair of the insurance risks and the financial risks. Following the works of Yang and Yuen in 2016, we derive some asymptotic relations for the finite-time and infinite-time ruin probabilities. As a complement, we demonstrate our obtained result through a Crude Monte Carlo (CMC) simulation with asymptotics. |
| first_indexed | 2024-04-14T01:54:18Z |
| format | Article |
| id | doaj.art-37576d3c99914b328a0780c08fc1000d |
| institution | Directory Open Access Journal |
| issn | 2227-9091 |
| language | English |
| last_indexed | 2024-04-14T01:54:18Z |
| publishDate | 2017-03-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Risks |
| spelling | doaj.art-37576d3c99914b328a0780c08fc1000d2022-12-22T02:19:10ZengMDPI AGRisks2227-90912017-03-01511410.3390/risks5010014risks5010014Ruin Probabilities in a Dependent Discrete-Time Risk Model With Gamma-Like Tailed Insurance RisksXing-Fang Huang0Ting Zhang1Yang Yang2Tao Jiang3Institute of Statistics and Data Science, Nanjing Audit University, Nanjing 211815, ChinaDepartment of Statistics, Nanjing Audit University, Nanjing 211815, ChinaInstitute of Statistics and Data Science, Nanjing Audit University, Nanjing 211815, ChinaSchool of Statistics and Mathematics, Zhejiang Gongshang University, Hangzhou 310018, ChinaThis paper considered a dependent discrete-time risk model, in which the insurance risks are represented by a sequence of independent and identically distributed real-valued random variables with a common Gamma-like tailed distribution; the financial risks are denoted by another sequence of independent and identically distributed positive random variables with a finite upper endpoint, but a general dependence structure exists between each pair of the insurance risks and the financial risks. Following the works of Yang and Yuen in 2016, we derive some asymptotic relations for the finite-time and infinite-time ruin probabilities. As a complement, we demonstrate our obtained result through a Crude Monte Carlo (CMC) simulation with asymptotics.http://www.mdpi.com/2227-9091/5/1/14discrete-time risk modelfinite-time and infinite-time ruin probabilitiesinsurance and financial risksGamma-like tailasymptotics |
| spellingShingle | Xing-Fang Huang Ting Zhang Yang Yang Tao Jiang Ruin Probabilities in a Dependent Discrete-Time Risk Model With Gamma-Like Tailed Insurance Risks Risks discrete-time risk model finite-time and infinite-time ruin probabilities insurance and financial risks Gamma-like tail asymptotics |
| title | Ruin Probabilities in a Dependent Discrete-Time Risk Model With Gamma-Like Tailed Insurance Risks |
| title_full | Ruin Probabilities in a Dependent Discrete-Time Risk Model With Gamma-Like Tailed Insurance Risks |
| title_fullStr | Ruin Probabilities in a Dependent Discrete-Time Risk Model With Gamma-Like Tailed Insurance Risks |
| title_full_unstemmed | Ruin Probabilities in a Dependent Discrete-Time Risk Model With Gamma-Like Tailed Insurance Risks |
| title_short | Ruin Probabilities in a Dependent Discrete-Time Risk Model With Gamma-Like Tailed Insurance Risks |
| title_sort | ruin probabilities in a dependent discrete time risk model with gamma like tailed insurance risks |
| topic | discrete-time risk model finite-time and infinite-time ruin probabilities insurance and financial risks Gamma-like tail asymptotics |
| url | http://www.mdpi.com/2227-9091/5/1/14 |
| work_keys_str_mv | AT xingfanghuang ruinprobabilitiesinadependentdiscretetimeriskmodelwithgammaliketailedinsurancerisks AT tingzhang ruinprobabilitiesinadependentdiscretetimeriskmodelwithgammaliketailedinsurancerisks AT yangyang ruinprobabilitiesinadependentdiscretetimeriskmodelwithgammaliketailedinsurancerisks AT taojiang ruinprobabilitiesinadependentdiscretetimeriskmodelwithgammaliketailedinsurancerisks |