Ruin probabilities under Sarmanov dependence structure

DOI10.1016/J.SPL.2016.05.021MaRDI QIDQ310666zbMATH OpenOpenAlexFDO

Authors Krishanu Maulik, Moumanti Podder

Publication date 8 September 2016

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1601.04637

zbMATH Keywords

regular variationSarmanov distributionproduct of random variablesruin probabilities

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Extreme value theory; extremal stochastic processes (60G70)

Abstract: Our work aims to study the tail behaviour of weighted sums of the form $su{m}_{i=1}^{infty}{X}_{i}pro{d}_{j=1}^i{Y}_j$, where $(X_i,Y_i)$ are independent and identically distributed, with common joint distribution bivariate Sarmanov. Such quantities naturally arise in financial risk models. Each $X_i$ has a regularly varying tail. With sufficient conditions similar to those used by Denisov and Zwart (2007) imposed on these two sequences, and with certain suitably summable bounds similar to those proposed by Hazra and Maulik (2012), we explore the tail distribution of the random variable $su{p}_{ngeq1}su{m}_{i=1}^n{X}_{i}pro{d}_{j=1}^i{Y}_j$. The sufficient conditions used will relax the moment conditions on the $Y_i$ sequence.

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Cites work

• scientific article; zbMATH DE number 3238248 (Why is no real title available?)
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Cited in

(6)

• On the distribution of a sum of Sarmanov distributed random variables
• Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks
• On a class of bivariate mixed Sarmanov distributions
• Ruin estimation in multivariate models with Clayton dependence structure
• Extremes and products of multivariate AC-product risks
• Approximations of the tail probability of the product of dependent extremal random variables and applications

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