Author:
Hashorva Enkelejd,Li Jinzhu
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.
Publisher
Cambridge University Press (CUP)
Subject
Industrial and Manufacturing Engineering,Management Science and Operations Research,Statistics, Probability and Uncertainty,Statistics and Probability
Cited by
8 articles.
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