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Interplay of financial and insurance risks in dependent discrete-time risk models

  • Published:2020-07 Issue: Volume:162 Page:108752
  • ISSN:0167-7152
  • Container-title:Statistics & Probability Letters
  • language:en
  • Short-container-title:Statistics & Probability Letters

Author:

Yang YangORCID,Jiang Tao,Wang Kaiyong,Yuen Kam C.

Funder

Natural Science Research of Jiangsu Higher Education Institutions of China

PAPD, China

High Level Talent Project of Six Talents Peak of Jiangsu Province, China

Project of Construction for Superior Subjects of Mathematics/Statistics of Jiangsu Higher Education Institutions, China

National Natural Science Foundation of China

Zhejiang Gongshang University, China

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference26 articles.

1. Extremes on the discounted aggregate claims in a time dependent risk model;Asimit;Scand. Actuar. J.,2010

2. Dependence and the asymptotic behavior of large claims reinsurance;Asimit;Insur. Math. Econ.,2008

3. The stochastic equation Yn+1=AnYn+Bn;Brandt;Adv. Appl. Probab.,1986

4. The finite-time ruin probability with dependent insurance and financial risks;Chen;J. Appl. Probab.,2011

5. Bivariate regular variation among randomly weighted sums in general insurance;Chen;Eur. Actuar. J.,2019

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