Tail behavior of the product of two dependent random variables with applications to risk theory

DOI10.1007/s10687-012-0153-2zbMath1329.62085OpenAlexW2041940248MaRDI QIDQ907381

Yang Yang, Yue-bao Wang

Publication date: 25 January 2016

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-012-0153-2

zbMATH Keywords

regular variationproductfinite-time and infinite-time ruin probabilitiesbivariate Sarmanov distribution

Mathematics Subject Classification ID

Related Items (56)

Complete moment convergence for product sums of sequence of extended negatively dependent random variables ⋮ Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns ⋮ Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns ⋮ Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns ⋮ Randomly weighted sums of conditionally dependent and dominated varying-tailed increments with application to ruin theory ⋮ Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims ⋮ Asymptotics of convolution with the semi-regular-variation tail and its application to risk ⋮ On mixed Erlang reinsurance risk: aggregation, capital allocation and default risk ⋮ Ruin probabilities under Sarmanov dependence structure ⋮ Subexponentiality of the product of dependent random variables ⋮ The ruin probabilities of a discrete time risk model with one-sided linear claim sizes and dependent risks ⋮ ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS ⋮ Asymptotic estimates for finite-time ruin probability in a discrete-time risk model with dependence structures and CMC simulations ⋮ Tail asymptotic of Weibull-type risks ⋮ Interplay of financial and insurance risks in dependent discrete-time risk models ⋮ Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments ⋮ Asymptotics for a discrete-time risk model with Gamma-like insurance risks ⋮ Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks ⋮ A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks ⋮ Extensions of Breiman's theorem of product of dependent random variables with applications to ruin theory ⋮ On the joint tail behavior of randomly weighted sums of heavy-tailed random variables ⋮ ASYMPTOTICS FOR A DISCRETE-TIME RISK MODEL WITH THE EMPHASIS ON FINANCIAL RISK ⋮ Conditional tail expectation of randomly weighted sums with heavy-tailed distributions ⋮ Basis risk management and randomly scaled uncertainty ⋮ Product of bi-dimensional VAR(1) model components. An application to the cost of electricity load prediction errors ⋮ Second-order asymptotics for convolution of distributions with light tails ⋮ Revisiting the product of random variables ⋮ Ruin under light-tailed or moderately heavy-tailed insurance risks interplayed with financial risks ⋮ Uniform asymptotics for ruin probabilities of a time-dependent renewal risk model with dependence structures and stochastic returns ⋮ The loss given default of a low-default portfolio with weak contagion ⋮ On extremal behavior of aggregation of largest claims ⋮ Max-sum equivalence of conditionally dependent random variables ⋮ Approximations of the tail probability of the product of dependent extremal random variables and applications ⋮ Ruin probabilities with insurance and financial risks having an FGM dependence structure ⋮ Asymptotic finite-time ruin probabilities in a dependent bidimensional renewal risk model with subexponential claims ⋮ Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model ⋮ The finite-time ruin probability of a discrete-time risk model with GARCH discounted factors and dependent risks ⋮ Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors ⋮ Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks ⋮ Random difference equations with subexponential innovations ⋮ Asymptotic Results for Ruin Probability of a Two-Dimensional Renewal Risk Model ⋮ A note on the tail behavior of randomly weighted sums with convolution-equivalently distributed random variables ⋮ Asymptotics for heavy-tailed renewal-reward processes and applications to risk processes and heavy traffic networks ⋮ Second-order tail asymptotics of deflated risks ⋮ The finite-time ruin probability with heavy-tailed and dependent insurance and financial risks ⋮ The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks ⋮ Asymptotics for randomly weighted and stopped dependent sums ⋮ On s-convex bounds for Beta-unimodal distributions with applications to basis risk assessment ⋮ Complete and complete moment convergence for weighted sums of widely orthant dependent random variables ⋮ A necessary and sufficient condition for the subexponentiality of the product convolution ⋮ Convergence for weighted sums of widely orthant dependent random variables ⋮ Asymptotics for the sum of three state Markov dependent random variables ⋮ The consistency of the nearest neighbor estimator of the density function based on WOD samples ⋮ Ruin with insurance and financial risks following the least risky FGM dependence structure ⋮ The product distribution of dependent random variables with applications to a discrete-time risk model ⋮ Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Some properties of the exponential distribution class with applications to risk theory
• The product of two dependent random variables with regularly varying or rapidly varying tails
• Approximation of the tail probability of randomly weighted sums of dependent random variables with dominated variation
• Conditional limit results for type I polar distributions
• Asymptotics of random contractions
• Estimates for the finite-time ruin probability with insurance and financial risks
• Uniform estimate for maximum of randomly weighted sums with applications to insurance risk theory
• Conditional limiting distribution of beta-independent random vectors
• Tail asymptotics under beta random scaling
• Approximation of the tail probability of randomly weighted sums and applications
• Uniform estimate for maximum of randomly weighted sums with applications to ruin theory
• Extreme values in FGM random sequences
• Subexponentiality of the product of independent random variables
• Ruin problems with assets and liabilities of diffusion type
• On the ruin probabilities in a general economic environment
• Finite and infinite time ruin probabilities in a stochastic economic environment.
• Uniform asymptotics for the finite-time ruin probability of a dependent risk model with a constant interest rate
• Banach algebras of measures on the real line with a given asymptotics of distributions at infinity
• Asymptotics of the norm of elliptical random vectors
• From light tails to heavy tails through multiplier
• The subexponentiality of products revisited
• Randomly weighted sums with dominated varying-tailed increments and application to risk theory
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• THE SUBEXPONENTIAL PRODUCT CONVOLUTION OF TWO WEIBULL-TYPE DISTRIBUTIONS
• The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks
• Insensitivity to Negative Dependence of Asymptotic Tail Probabilities of Sums and Maxima of Sums
• Sums of Pairwise Quasi-Asymptotically Independent Random Variables with Consistent Variation
• Properties and applications of the sarmanov family of bivariate distributions
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• Asymptotic independence and a network traffic model
• The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
• On a Theorem of Breiman and a Class of Random Difference Equations
• Heavy-Tail Phenomena
• Tail Probabilities of Randomly Weighted Sums of Random Variables with Dominated Variation
• Regularly varying functions

This page was built for publication: Tail behavior of the product of two dependent random variables with applications to risk theory