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Risks 2017, 5(1), 14; doi:10.3390/risks5010014

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

1
Institute of Statistics and Data Science, Nanjing Audit University, Nanjing 211815, China
2
Department of Statistics, Nanjing Audit University, Nanjing 211815, China
3
School of Statistics and Mathematics, Zhejiang Gongshang University, Hangzhou 310018, China
*
Author to whom correspondence should be addressed.
Academic Editor: Qihe Tang
Received: 28 November 2016 / Accepted: 24 February 2017 / Published: 3 March 2017
View Full-Text   |   Download PDF [258 KB, uploaded 6 March 2017]

Abstract

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. View Full-Text
Keywords: discrete-time risk model; finite-time and infinite-time ruin probabilities; insurance and financial risks; Gamma-like tail; asymptotics discrete-time risk model; finite-time and infinite-time ruin probabilities; insurance and financial risks; Gamma-like tail; asymptotics
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

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MDPI and ACS Style

Huang, X.-F.; Zhang, T.; Yang, Y.; Jiang, T. Ruin Probabilities in a Dependent Discrete-Time Risk Model With Gamma-Like Tailed Insurance Risks. Risks 2017, 5, 14.

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