The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks

DOI10.1239/jap/1324046017zbMath1230.91069MaRDI QIDQ3108473

Yiqing Chen

Publication date: 4 January 2012

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1324046017

zbMATH Keywords

asymptotics; subexponential distribution; Farlie-Gumbel-Morgenstern distribution; finite-time ruin probability; maximum domain of attraction

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62E10: Characterization and structure theory of statistical distributions

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