多维风险模型中的多变量有规律变化的保险和金融风险

IF 0.7 4区 数学 Q3 STATISTICS & PROBABILITY Journal of Applied Probability Pub Date : 2024-05-13 DOI:10.1017/jpr.2024.23
Ming Cheng, Dimitrios G. Konstantinides, Dingcheng Wang
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引用次数: 0

摘要

多变量正则变异是一个关键概念,已被应用于金融、保险和风险管理领域。本文通过多变量正则变异框架提出了一种新的依赖性假设。在金融和保险风险满足假设的条件下,我们对离散时间和连续时间情况下的多维毁坏概率进行了渐近分析。此外,我们还给出了一个满足我们假设的二维数值示例,通过该示例,我们展示了离散时间多维保险风险模型渐近结果的准确性。
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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.
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来源期刊
Journal of Applied Probability
Journal of Applied Probability 数学-统计学与概率论
CiteScore
1.50
自引率
10.00%
发文量
92
审稿时长
6-12 weeks
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.
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