IDEAS home Printed from https://ideas.repec.org/a/taf/lstaxx/v47y2018i17p4170-4186.html
   My bibliography  Save this article

The finite-time ruin probability of a discrete-time risk model with GARCH discounted factors and dependent risks

Author

Listed:
  • Rongfei Liu
  • Dingcheng Wang
  • Fenglong Guo

Abstract

The finite-time ruin probability of a discrete-time risk model with dependent stochastic discount factors and dependent insurance and financial risks is investigated in this paper. Assume that the stochastic discount factors follow a GARCH process and the one-period insurance and financial risks form a sequence of independent and identically distributed random pairs, which are the copies of a random pair with a bivariate Sarmanov dependent distribution. When the common distribution of claim-sizes is heavy-tailed, we establish an asymptotic estimate for the finite-time ruin probability. Applying the result to a special case, we also get conservative asymptotic bounds. A numerical simulation is given at the end of the paper.

Suggested Citation

  • Rongfei Liu & Dingcheng Wang & Fenglong Guo, 2018. "The finite-time ruin probability of a discrete-time risk model with GARCH discounted factors and dependent risks," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 47(17), pages 4170-4186, September.
    • Handle: RePEc:taf:lstaxx:v:47:y:2018:i:17:p:4170-4186
    DOI: 10.1080/03610926.2017.1371753
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/03610926.2017.1371753
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/03610926.2017.1371753?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Abouzar Bazyari, 2023. "On the Ruin Probabilities in a Discrete Time Insurance Risk Process with Capital Injections and Reinsurance," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(2), pages 1623-1650, August.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:lstaxx:v:47:y:2018:i:17:p:4170-4186. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/lsta .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.