Ruin probabilities in dependent insurances with autoregressive model

Ruin Probabilities with Dependent Rates of Interest and Autoregressive Moving Average Structures

This paper studies ruin probabilities in two discrete-time risk models with premiums, claims and rates of interest modelled by three autoregressive moving average processes. Generalized Lundberg inequalities for ruin probabilities are derived by using recursive technique. A numerical example is given to illustrate the applications of these probability inequalities. Keywords—Lundberg inequality,...

Dependent Risks and Ruin Probabilities in Insurance

Classical risk process models in insurance rely on independency. However, especially when modelling natural events, this assumption is very restrictive. This paper proposes a new approach to introducing dependency structures between events into the model and investigates its effects on a crucial parameter for insurance companies, the probability of ruin. Explicit formulas, numerical simulations...

Ruin Probabilities in a Discrete Time Risk Model with Dependent Risks of Heavy Tail

This paper establishes some asymptotic results for both finite and ultimate ruin probabilities in a discrete time risk model with constant interest rates, and individual net losses in R−α, the class of regular variation with index α > 0. The individual net losses are allowed to be generally dependent while they have zero index of upper tail dependence, so that our results partially generalize t...

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 independent and identically distributed positive random variables with a finite upper endpoint, but a gen...

Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks