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

DOI10.1007/S11425-014-4775-5zbMATH Open1388.62306OpenAlexW2044591561MaRDI QIDQ476937FDOQ476937

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

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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)

Cites Work

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• Ruin problems with assets and liabilities of diffusion type
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• Asymptotic independence and a network traffic model
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• The product of two dependent random variables with regularly varying or rapidly varying tails
• The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
• Estimates for the finite-time ruin probability with insurance and financial risks
• The impact on ruin probabilities of the association structure among financial risks
• The tail probability of the product of dependent random variables from max-domains of attraction
• Asymptotics of random contractions

Cited In (9)

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

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