Extremes and products of multivariate AC-product risks

DOI10.1016/j.insmatheco.2013.01.005zbMath1284.60108MaRDI QIDQ2442532

Enkelejd Hashorva, Yang Yang

Publication date: 3 April 2014

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

Full work available at URL: https://serval.unil.ch/notice/serval:BIB_A55E3D12FFCE

zbMATH Keywords

ruin probability; risk aggregation; Sarmanov distribution; AC-product distribution; random deflators

Mathematics Subject Classification ID

62E20: Asymptotic distribution theory in statistics

62H20: Measures of association (correlation, canonical correlation, etc.)

60G70: Extreme value theory; extremal stochastic processes

Related Items

ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS, Asymptotics for a discrete-time risk model with Gamma-like insurance risks, Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks, Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks, On mixed Erlang reinsurance risk: aggregation, capital allocation and default risk, Ruin probabilities under Sarmanov dependence structure, Risk concentration based on expectiles for extreme risks under FGM copula, Capital allocation for Sarmanov's class of distributions, The loss given default of a low-default portfolio with weak contagion, On the joint tail behavior of randomly weighted sums of heavy-tailed random variables, On the evaluation of some multivariate compound distributions with Sarmanov's counting distribution, Risk- and value-based management for non-life insurers under solvency constraints, A note on the tail behavior of randomly weighted sums with convolution-equivalently distributed random variables, Bivariate Sarmanov phase-type distributions for joint lifetimes modeling, Ruin with insurance and financial risks following the least risky FGM dependence structure, On some multivariate Sarmanov mixed Erlang reinsurance risks: aggregation and capital allocation, Extensions of Breiman's theorem of product of dependent random variables with applications to ruin theory, Max-sum equivalence of conditionally dependent random variables, Second-order tail asymptotics of deflated risks, Quantifying the risk using copulae with nonparametric marginals, The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks, The finite-time ruin probability of a risk model with a general counting process and stochastic return, On extremal behavior of aggregation of largest claims

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Minima and maxima of elliptical arrays and spherical processes
• Exact asymptotics of supremum of a stationary Gaussian process over a random interval
• On the infinite sums of deflated Gaussian products
• Statistical models and methods for dependence in insurance data
• The product of two dependent random variables with regularly varying or rapidly varying tails
• Asymptotics of supremum distribution of a Gaussian process over a Weibullian time
• The tail probability of the product of dependent random variables from max-domains of attraction
• Asymptotics for risk capital allocations based on conditional tail expectation
• Archimedean copulas in finite and infinite dimensions -- with application to ruin problems
• Asymptotics of random contractions
• On convolution equivalence with applications
• Exact tail asymptotics in bivariate scale mixture models
• Second order tail asymptotics for the sum of dependent, tail-independent regularly varying risks
• Non-life insurance mathematics. An introduction with the Poisson process
• Tail asymptotics under beta random scaling
• Asymptotic tail probabilities of sums of dependent subexponential random variables
• Extremes of moving averages of random variables from the domain of attraction of the double exponential distribution
• Extreme values in FGM random sequences
• Subexponentiality of the product of independent random variables
• Exact tail asymptotics of aggregated parametrised risk
• Efficient simulation of tail probabilities for sums of log-elliptical risks
• From light tails to heavy tails through multiplier
• Tails of correlation mixtures of elliptical copulas
• Precise large deviations of aggregate claims in a size-dependent renewal risk model
• The subexponentiality of products revisited
• On beta-product convolutions
• THE SUBEXPONENTIAL PRODUCT CONVOLUTION OF TWO WEIBULL-TYPE DISTRIBUTIONS
• Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
• Extremes on the discounted aggregate claims in a time dependent risk model
• The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
• Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
• Aggregation of rapidly varying risks and asymptotic independence
• Moving averages with random coefficients and random coefficient autoregressive models
• The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
• Regularly varying functions