Ming Cheng, Dimitrios G. Konstantinides, Dingcheng Wang
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Multivariate regularly varying insurance and financial risks in multidimensional risk models
Multivariate regular variation is a key concept that has been applied in finance, insurance, and risk management. This paper proposes a new dependence assumption via a framework of multivariate regular variation. Under the condition that financial and insurance risks satisfy our assumption, we conduct asymptotic analyses for multidimensional ruin probabilities in the discrete-time and continuous-time cases. Also, we present a two-dimensional numerical example satisfying our assumption, through which we show the accuracy of the asymptotic result for the discrete-time multidimensional insurance risk model.
期刊介绍:
Journal of Applied Probability is the oldest journal devoted to the publication of research in the field of applied probability. It is an international journal published by the Applied Probability Trust, and it serves as a companion publication to the Advances in Applied Probability. Its wide audience includes leading researchers across the entire spectrum of applied probability, including biosciences applications, operations research, telecommunications, computer science, engineering, epidemiology, financial mathematics, the physical and social sciences, and any field where stochastic modeling is used.
A submission to Applied Probability represents a submission that may, at the Editor-in-Chief’s discretion, appear in either the Journal of Applied Probability or the Advances in Applied Probability. Typically, shorter papers appear in the Journal, with longer contributions appearing in the Advances.