On the asymptotic ruin probability with some specific stochastic discount factors

zbMATH Open1199.62057MaRDI QIDQ3605293FDOQ3605293

Authors: Raluca Vernic 

Publication date: 23 February 2009

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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)

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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