Ruin probabilities under Sarmanov dependence structure

DOI10.1016/j.spl.2016.05.021zbMath1397.60088arXiv1601.04637OpenAlexW2404161251MaRDI QIDQ310666

Moumanti Podder, Krishanu Maulik

Publication date: 8 September 2016

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

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

zbMATH Keywords

regular variationSarmanov distributionproduct of random variablesruin probabilities

Mathematics Subject Classification ID

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

Related Items

On a class of bivariate mixed Sarmanov distributions, Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks

Cites Work

• Unnamed Item
• Tail behavior of the product of two dependent random variables with applications to risk theory
• Tail probabilities for infinite series of regularly varying random vectors
• Subexponential distributions and characterizations of related classes
• Extremes and products of multivariate AC-product risks
• Risk Measures and Multivariate Extensions of Breiman's Theorem
• On stochastic difference equations in insurance ruin theory
• Tail Behavior of Randomly Weighted Sums
• Moving averages with random coefficients and random coefficient autoregressive models
• Properties and applications of the sarmanov family of bivariate distributions
• On a Theorem of Breiman and a Class of Random Difference Equations