المؤلفون: Xu, Chenghao, Wang, Kaiyong, Wu, Xinyi

المصدر: Communications in Statistics: Theory & Methods; 2024, Vol. 53 Issue 6, p2194-2204, 11p

مصطلحات موضوعية: STOCHASTIC models, LEVY processes, PRICES, PROBABILITY theory, STOCHASTIC dominance

مستخلص: Consider a renewal risk model with stochastic return and stochastic perturbation, where the price process of the investment portfolio is a geometric Lévy process. When the claim sizes have a dependence structure, we derive the asymptotics of the finite-time ruin probability for all subexponential claim sizes. Particularly, when the claim sizes come from a subclass of the subexponential distribution class, the finite-time ruin probability has been estimated for claim sizes with a general dependence structure. [ABSTRACT FROM AUTHOR]

: Copyright of Communications in Statistics: Theory & Methods is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

المؤلفون: Xun, Baoyin, Wang, Kaiyong^Aff1, Yuen, Kam C.

المصدر: Japan Journal of Industrial and Applied Mathematics. 37(2):507-525

المؤلفون: Wang, Kaiyong, Chen, Lamei, Yang, Yang^Aff2, Gao, Miaomiao

المصدر: Japan Journal of Industrial and Applied Mathematics. 35(3):1173-1189

المؤلفون: Wang, Kaiyong^Aff1, Gao, Miaomiao^Aff1, Yang, Yang^Aff2, Chen, Yang^Aff1

المصدر: Lithuanian Mathematical Journal. 58(1):113-125

المؤلفون: Wang, Kaiyong, Gao, Miaomiao, Yang, Yang, Chen, Yang

المصدر: Lithuanian Mathematical Journal; Jan2018, Vol. 58 Issue 1, p113-125, 13p

مصطلحات موضوعية: PROBABILITY theory, INSURANCE, STOCHASTIC analysis, RISK, FINANCE

مستخلص: We consider a discrete-time risk model with insurance and financial risks. Within period i ≥ 1, the real-valued net insurance loss caused by claims is the insurance risk, denoted by Xi, and the positive stochastic discount factor over the same time period is the financial risk, denoted by Yi. Assume that {(X, Y), (Xi, Yi), i ≥ 1} form a sequence of independent identically distributed random vectors. In this paper, we investigate a discrete-time risk model allowing a dependence structure between the two risks. When (X, Y ) follows a bivariate Sarmanov distribution and the distribution of the insurance risk belongs to the class ℒ(γ) for some γ > 0, we derive the asymptotics for the finite-time ruin probability of this discrete-time risk model. [ABSTRACT FROM AUTHOR]

: Copyright of Lithuanian Mathematical Journal is the property of Springer Nature and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)