Ruin probabilities with insurance and financial risks having an FGM dependence structure

DOI10.1007/S11425-014-4775-5MaRDI QIDQ476937zbMATH OpenOpenAlexFDO

Authors Yu Chen, Yingying Yang

Publication date 2 December 2014

Published in Science China. Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11425-014-4775-5

zbMATH Keywords

asymptoticsregular variationFarlie-Gumbel-Morgenstern distributionquasi-asymptotic independenceruin probabilities

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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• Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation
• Asymptotic independence and a network traffic model
• Asymptotics of random contractions
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• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• On a Theorem of Breiman and a Class of Random Difference Equations
• On the ruin probabilities in a general economic environment
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Ruin problems with assets and liabilities of diffusion type
• Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
• Tail behavior of the product of two dependent random variables with applications to risk theory
• The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
• The impact on ruin probabilities of the association structure among financial risks
• The product of two dependent random variables with regularly varying or rapidly varying tails
• The tail probability of the product of dependent random variables from max-domains of attraction
• Uniform estimate for maximum of randomly weighted sums with applications to ruin theory

Cited in

(9)

• The product distribution of dependent random variables with applications to a discrete-time risk model
• Multirisks model and finite-time ruin probabilities
• The impact on ruin probabilities of the association structure among financial risks
• Extensions of Breiman's theorem of product of dependent random variables with applications to ruin theory
• Determination of dependency parameter in joint distribution of dependent risks by fuzzy approach
• Revisiting the product of random variables
• Risk measures and multivariate extensions of Breiman's theorem
• Random difference equations with subexponential innovations
• Ruin with insurance and financial risks following the least risky FGM dependence structure

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