Asymptotics for a discrete-time risk model with the emphasis on financial risk

Fiche du document

Auteurs
Discipline
Type de document
Périmètre
Langue
Identifiant
Source

Serveur académique Lausannois

Relations

Ce document est lié à :
info:eu-repo/semantics/altIdentifier/doi/10.1017/S026996481400014X

Ce document est lié à :
info:eu-repo/semantics/altIdentifier/pissn/0269-9648

Ce document est lié à :
info:eu-repo/semantics/altIdentifier/eissn/1469-8951

Ce document est lié à :
info:eu-repo/semantics/altIdentifier/urn/urn:nbn:ch:serval-BIB_C0CE68FF57CA3

Collection

Serveur Académique Lausannois

Organisation

Université de Lausanne et CHUV

Licences

info:eu-repo/semantics/openAccess , Copying allowed only for non-profit organizations , https://serval.unil.ch/disclaimer

Mots-clés 0

Ruin probabilities; convolution equivalence; infinite-divisibility; tail probabilities; random-variables; finite-horizon; weighted sums; investments; distributions; insurance

Sujets proches En

Probability Statistical inference

Citer ce document

E. Hashorva et al., « Asymptotics for a discrete-time risk model with the emphasis on financial risk », Serveur académique Lausannois, ID : 10.1017/S026996481400014X

Métriques

Partage / Export

Résumé 0

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.

document thumbnail

Par les mêmes auteurs

Sur les mêmes sujets

Sur les mêmes disciplines

Exporter en