Ruin probabilities under Sarmanov dependence structure

DOI10.1016/J.SPL.2016.05.021zbMATH Open1397.60088arXiv1601.04637OpenAlexW2404161251MaRDI QIDQ310666FDOQ310666

Authors: Krishanu Maulik, Moumanti Podder 

Publication date: 8 September 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: Our work aims to study the tail behaviour of weighted sums of the form $su{m}_{i=1}^{infty}{X}_{i}pro{d}_{j=1}^i{Y}_j$, where $(X_i,Y_i)$ are independent and identically distributed, with common joint distribution bivariate Sarmanov. Such quantities naturally arise in financial risk models. Each $X_i$ has a regularly varying tail. With sufficient conditions similar to those used by Denisov and Zwart (2007) imposed on these two sequences, and with certain suitably summable bounds similar to those proposed by Hazra and Maulik (2012), we explore the tail distribution of the random variable $su{p}_{ngeq1}su{m}_{i=1}^n{X}_{i}pro{d}_{j=1}^i{Y}_j$. The sufficient conditions used will relax the moment conditions on the $Y_i$ sequence.

Full work available at URL: https://arxiv.org/abs/1601.04637

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zbMATH Keywords

regular variationSarmanov distributionproduct of random variablesruin probabilities

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Extreme value theory; extremal stochastic processes (60G70)

Cites Work

• Properties and applications of the sarmanov family of bivariate distributions
• Title not available (Why is that?)
• Subexponential distributions and characterizations of related classes
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Cited In (6)

• On the distribution of a sum of Sarmanov distributed random variables
• Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks
• On a class of bivariate mixed Sarmanov distributions
• Ruin estimation in multivariate models with Clayton dependence structure
• Extremes and products of multivariate AC-product risks
• Approximations of the tail probability of the product of dependent extremal random variables and applications

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