Ruin Probabilities in a Dependent Discrete-Time Risk Model With Gamma-Like Tailed Insurance Risks

Precise Estimates for the Ruin Probability in Finite Horizon in a Discrete-time Model with Heavy-tailed Insurance and Financial Risks

This paper investigates the probability of ruin within finite horizon for a discrete time risk model, in which the reserve of an insurance business is currently invested in a risky asset. Under assumption that the risks are heavy tailed, some precise estimates for the finite time ruin probability are derived, which confirm a folklore that the ruin probability is mainly determined by whichever o...

Asymptotics for the infinite time ruin probability of a dependent risk model with a constant interest rate and dominatedly varying-tailed claim sizes

 This paper mainly considers a nonstandard risk model with a constant interest rate‎, ‎where both the claim sizes and the inter-arrival times follow some certain dependence structures‎. ‎When the claim sizes are dominatedly varying-tailed‎, ‎asymptotics for the infinite time ruin probability of the above dependent risk model have been given‎.

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

Finite- and Infinite-time Ruin Probabilities in the Presence of Stochastic Returns on Investments

This paper investigates the finiteand infinite-time ruin probabilities in a discrete-time stochastic economic environment. Under the assumption that the insurance risk – the total net loss within one time period – is extended-regularly-varying tailed or rapidly-varying tailed, various precise estimates for the ruin probabilities are derived. In particular, some estimates obtained are uniform wi...

Impact of correlation crises in risk theory: asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed1

In the renewal risk model, several strong hypotheses may be found too restrictive to model accurately the complex evolution of the reserves of an insurance company. In the case where claim sizes are heavy-tailed, we relax independence and stationarity assumptions and extend some asymptotic results on finite-time ruin probabilities, to take into account possible correlation crises like the one r...