Ruin probabilities in a dependent discrete-time risk model with gamma-like tailed insurance risks

Abstract

This paper considered a dependent discrete-time risk model, in which the insurance risks are represented by a sequence of independent and identically distributed real-valued random variables with a common Gamma-like tailed distribution; the financial risks are denoted by another sequence of independent and identically distributed positive random variables with a finite upper endpoint, but a general dependence structure exists between each pair of the insurance risks and the financial risks. Following the works of Yang and Yuen in 2016, we derive some asymptotic relations for the finite-time and infinite-time ruin probabilities. As a complement, we demonstrate our obtained result through a Crude Monte Carlo (CMC) simulation with asymptotics.