Journal article
Interplay of insurance and financial risks in a stochastic environment
Scandinavian Actuarial Journal, Vol.2019(5), pp.432-451
05/28/2019
DOI: 10.1080/03461238.2019.1573753
Abstract
Consider an insurer who makes risky investments and hence faces both insurance and financial risks. The insurance business is described by a discrete-time risk model modulated by a stochastic environment that poses systemic and systematic impacts on both the insurance and financial markets. This paper endeavors to quantitatively understand the interplay of the two risks in causing ruin of the insurer. Under the bivariate regular variation framework, we obtain an asymptotic formula to describe the impacts on the insurer's solvency of the two risks and of the stochastic environment.
Details
- Title: Subtitle
- Interplay of insurance and financial risks in a stochastic environment
- Creators
- Qihe Tang - Department of Statistics and Actuarial Science, University of IowaYang Yang - Department of Statistics, Nanjing Audit University
- Resource Type
- Journal article
- Publication Details
- Scandinavian Actuarial Journal, Vol.2019(5), pp.432-451
- DOI
- 10.1080/03461238.2019.1573753
- ISSN
- 0346-1238
- eISSN
- 1651-2030
- Publisher
- Taylor & Francis
- Grant note
- CMMI-1435864 / National Science Foundation (10.13039/100000001) Society of Actuaries (SOA) 2018-2021 / Centers of Actuarial Excellence (CAE) 71471090 / National Natural Science Foundation of China (10.13039/501100001809) BK20161578 / Natural Science Foundation of Jiangsu Province of China
- Language
- English
- Date published
- 05/28/2019
- Academic Unit
- Statistics and Actuarial Science
- Record Identifier
- 9983985824302771
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