On the asymptotic ruin probability with some specific stochastic discount factors

MaRDI QIDQ3605293zbMATH OpenFDO

Authors Raluca Vernic

Publication date 23 February 2009

zbMATH Keywords

tail probabilityFarlie-Gumbel-Morgenstern distributionsfinite and infinite time ruin probabilities

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(2)

• Subexponentiality of the product of dependent random variables
• Ruin with insurance and financial risks following the least risky FGM dependence structure

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