Interplay of subexponential and dependent insurance and financial risks
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Publication:1681088
DOI10.1016/J.INSMATHECO.2017.08.012zbMath1422.91333OpenAlexW2755285245MaRDI QIDQ1681088
Publication date: 23 November 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.08.012
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
Related Items (8)
Ruin in a continuous-time risk model with arbitrarily dependent insurance and financial risks triggered by systematic factors ⋮ Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance ⋮ Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks ⋮ Tail behavior of discounted portfolio loss under upper tail comonotonicity ⋮ Interplay of insurance and financial risks in a stochastic environment ⋮ The finite-time ruin probability of a discrete-time risk model with subexponential and dependent insurance and financial risks ⋮ Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model ⋮ The product distribution of dependent random variables with applications to a discrete-time risk model
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