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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

Enkelejd Hashorva and
Jinzhu Li
Enkelejd Hashorva
Affiliation:
School of Mathematical Science and LPMC, Nankai University, Tianjin 300071, People's Republic of China E-mail: Enkelejd.Hashorva@unil.ch
Jinzhu Li
Affiliation:
Department of Actuarial Science, Faculty of Business and Economics, University of Lausanne, UNIL-Dorigny 1015, Lausanne, Switzerland E-mail: lijinzhu@nankai.edu.cn
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Abstract

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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.

Information

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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