JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE) ›› 2023, Vol. 58 ›› Issue (11): 27-34, 52.doi: 10.6040/j.issn.1671-9352.0.2022.370

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The ruin probability of a two-dimensional discrete-time risk model

Chenghao XU(),Kaiyong WANG*()   

  1. School of Mathematical Sciences, Suzhou University of Science and Technology, Suzhou 215009, Jiangsu, China
  • Received:2022-07-08 Online:2023-11-20 Published:2023-11-07
  • Contact: Kaiyong WANG E-mail:534759246@qq.com;beewky@vip.163.com

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Abstract:

A two-dimensional discrete-time risk model is considered, in which the insurance company operates two kinds of businesses and each business can put their capital into risk-free and risky portfolio. Then the risk model has insurance and financial risks. Under the assumptions that there exists a Sarmanov joint distribution between two kinds of insurance risks and there are no restrictions on the dependence structure of two kinds of financial risks, asymptotic estimates for the finite-time ruin probabilities are obtained when the distributions of insurance risks are heavy-tailed. At the same time, numerical simulation has been carried to verify the accuracy of the results.

Key words: two-dimensional discrete-time risk model, Sarmanov joint distribution, asymptotic estimate, finite-time ruin probability

CLC Number: 

  • O211.4

Fig.1

Accuracy of asymptotic value of ruin probability when θ=0.2, 0.5, 0.8, x=700 and n=5"

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