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

被引：3
|
作者：
Chen Yu [1 ]
Yang YingYing [2 ]
机构：
[1] Univ Sci & Technol China, Sch Management, Dept Stat & Finance, Hefei 230026, Peoples R China
[2] Anhui Univ, Sch Math Sci, Hefei 230039, Peoples R China
来源：
SCIENCE CHINA-MATHEMATICS | 2014年 / 57卷 / 05期
基金：
中国国家自然科学基金;
关键词：
asymptotics; Farlie-Gumbel-Morgenstern distribution; quasi-asymptotic independence; regular variation; ruin probabilities; RANDOMLY WEIGHTED SUMS; RANDOM-VARIABLES; FINITE-TIME; ECONOMIC-ENVIRONMENT; TAIL PROBABILITY; MODEL;
D O I：
10.1007/s11425-014-4775-5
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We consider a discrete-time risk model, in which insurance risks and financial risks jointly follow a multivariate Farlie-Gumbel-Morgenstern distribution, and the insurance risks are regularly varying tailed. Explicit asymptotic formulae are obtained for finite-time and infinite-time ruin probabilities. Some numerical results are also presented to illustrate the accuracy of our asymptotic formulae.
引用
收藏
页码：1071 / 1082
页数：12
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