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ASYMPTOTICS FOR A DISCRETE-TIME RISK MODEL WITH THE EMPHASIS ON FINANCIAL RISK
Published online by Cambridge University Press: 27 June 2014
Abstract
This paper focuses on a discrete-time risk model in which both insurance risk and financial risk are taken into account. We study the asymptotic behavior of the ruin probability and the tail probability of the aggregate risk amount. Precise asymptotic formulas are derived under weak moment conditions of involved risks. The main novelty of our results lies in the quantification of the impact of the financial risk.
- Type
- Research Article
- Information
- Probability in the Engineering and Informational Sciences , Volume 28 , Issue 4 , October 2014 , pp. 573 - 588
- Copyright
- Copyright © Cambridge University Press 2014
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