TY - JOUR
T1 - Ruin under Light-Tailed or Moderately Heavy-Tailed Insurance Risks Interplayed with Financial Risks
AU - Chen, Yiqing
AU - Liu, Jiajun
AU - Yang, Yang
N1 - Funding Information:
The authors would like to thank the anonymous referee and for his/her careful reading and valuable comments, which have helped significantly improve the quality of the manuscript. The research of Yiqing Chen was supported by a Centers of Actuarial Excellence (CAE) Research Grant (2018–2022) from the Society of Actuaries (SOA), USA, and a Summer Research Grant from the College of Business and Public Administration at Drake University, USA. The research of Jiajun Liu was supported by the National Natural Science Foundation of China (NSFC: 72171055, 12201507), the Natural Science Foundation of Jiangsu Higher Education Institutions (No. 21KJB110019), the XJTLU Postgraduate Research Scholarship (PGRS2012012, FOSA200701, FOSA200702), and the XJTLU University Research Fund Project (RDF-17-01-21). The research of Yang Yang was supported by the National Social Science Fund of China (No. 22BTJ060), the Humanities and Social Sciences Foundation of the Ministry of Education of China (No. 20YJA910006), Natural Science Foundation of Jiangsu Province of China (No. BK20201396), Natural Science Foundation of the Jiangsu Higher Education Institutions (No. 19KJA180003), the Project of Construction for Superior Subjects of Mathematics/Statistics of Jiangsu Higher Education Institutions.
Publisher Copyright:
© 2023, The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature.
PY - 2023/3
Y1 - 2023/3
N2 - Consider an insurer who makes risk-free or risky investments and hence is exposed to both insurance and financial risks. We investigate the interplay of the two risks in causing ruin of the insurer and for this purpose we describe the insurer’s business by a discrete-time model with the insurance and financial risks forming a sequence of independent and identically distributed pairs with a generic random pair (X, Y). Assuming that the pair (X, Y) follows a Sarmanov distribution with the marginal of X light-tailed or moderately heavy-tailed, we derive some asymptotic formulas for the ruin probability for various scenarios of financial risks. Intensive numerical studies are conducted to illustrate the necessity of using light-tailed or moderately heavy-tailed distributions in a given situation and to examine the accuracy of the obtained asymptotic estimates for the ruin probability.
AB - Consider an insurer who makes risk-free or risky investments and hence is exposed to both insurance and financial risks. We investigate the interplay of the two risks in causing ruin of the insurer and for this purpose we describe the insurer’s business by a discrete-time model with the insurance and financial risks forming a sequence of independent and identically distributed pairs with a generic random pair (X, Y). Assuming that the pair (X, Y) follows a Sarmanov distribution with the marginal of X light-tailed or moderately heavy-tailed, we derive some asymptotic formulas for the ruin probability for various scenarios of financial risks. Intensive numerical studies are conducted to illustrate the necessity of using light-tailed or moderately heavy-tailed distributions in a given situation and to examine the accuracy of the obtained asymptotic estimates for the ruin probability.
KW - Asymptotics
KW - Dependence
KW - Heavy-tailed distribution
KW - Insurance and financial risks
KW - Ruin probability
UR - http://www.scopus.com/inward/record.url?scp=85147559692&partnerID=8YFLogxK
U2 - 10.1007/s11009-023-10008-3
DO - 10.1007/s11009-023-10008-3
M3 - Article
AN - SCOPUS:85147559692
SN - 1387-5841
VL - 25
JO - Methodology and Computing in Applied Probability
JF - Methodology and Computing in Applied Probability
IS - 1
M1 - 14
ER -