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Multivariate regularly varying insurance and financial risks in multidimensional risk models

Part of: Applications

Published online by Cambridge University Press:  13 May 2024

Ming Cheng ,
Dimitrios G. Konstantinides  and
Dingcheng Wang
Ming Cheng*
Affiliation:
University of Electronic Science and Technology of China
Dimitrios G. Konstantinides*
Affiliation:
University of the Aegean
Dingcheng Wang*
Affiliation:
University of Electronic Science and Technology of China
*
*Postal address: School of Mathematical Sciences, University of Electronic Science and Technology of China, Chengdu, China.
**Postal address: Department of Statistics and Actuarial-Financial Mathematics, University of the Aegean, Karlovassi, Samos, Greece.
*Postal address: School of Mathematical Sciences, University of Electronic Science and Technology of China, Chengdu, China.
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Abstract

Multivariate regular variation is a key concept that has been applied in finance, insurance, and risk management. This paper proposes a new dependence assumption via a framework of multivariate regular variation. Under the condition that financial and insurance risks satisfy our assumption, we conduct asymptotic analyses for multidimensional ruin probabilities in the discrete-time and continuous-time cases. Also, we present a two-dimensional numerical example satisfying our assumption, through which we show the accuracy of the asymptotic result for the discrete-time multidimensional insurance risk model.

Keywords

Ruin probabilitydependenceasymptoticsmultivariate regular variation

MSC classification

Primary: 62P05: Applications to actuarial sciences and financial mathematics
Type
Original Article
Information
Journal of Applied Probability , First View , pp. 1 - 24
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Copyright
© The Author(s), 2024. Published by Cambridge University Press on behalf of Applied Probability Trust

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