Ruin with insurance and financial risks following the least risky FGM dependence structure

DOI10.1016/j.insmatheco.2015.03.007zbMath1318.91108OpenAlexW2037694287MaRDI QIDQ2347062

Yanyan Li

Publication date: 26 May 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.03.007

zbMATH Keywords

asymptoticssubexponential distributionFarlie-Gumbel-Morgenstern distributionfinite-time ruin probabilityproduct of dependent random variables

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (11)

Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory ⋮ Asymptotic risk decomposition for regularly varying distributions with tail dependence ⋮ Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure ⋮ Interplay of subexponential and dependent insurance and financial risks ⋮ Kernel density estimation under negative superadditive dependence and its application for real data ⋮ Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks ⋮ Expectation of the truncated randomly weighted sums with dominatedly varying summands ⋮ Tails of higher-order moments with dominatedly varying summands ⋮ On asymptotic finite-time ruin probability of a renewal risk model with subexponential main claims and delayed claims ⋮ 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

Uses Software

• QRM

Cites Work

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