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Interplay of subexponential and dependent insurance and financial risks
Institution:1. Jiangsu Key Laboratory of Financial Engineering, School of Finance, Nanjing Audit University, China;2. School of Mathematical Sciences, University of Electronic Science and Technology of China, China;3. Department of Statistics and Actuarial Sciences, The University of Hong Kong, Hong Kong;1. School of Statistics and Mathematics, Zhejiang Gongshang University, Hangzhou 310018, China;2. Department of Finance, The Chinese University of Hong Kong, Shatin, N.T., Hong Kong;1. School of Statistics and Mathematics, Zhejiang Gongshang University, 310018, PR China;2. School of Mathematical Sciences, Soochow University, Suzhou, 215006, PR China;3. School of Mathematics and Physics, Suzhou University of Science and Technology, Suzhou, 215009, PR China;1. Cass Business School, City University London, London EC1Y 8TZ, United Kingdom;2. School of Mathematical Science and LPMC, Nankai University, Tianjin 300071, PR China
Abstract:
Keywords:Asymptotics  Copula  Insurance and financial risks  Ruin probability  Subexponentiality
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