Ruin probabilities with insurance and financial risks having an FGM dependence structure |
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| Authors: | Yu Chen YingYing Yang |
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| Institution: | 1. Department of Statistics and Finance, School of Management, University of Science and Technology of China, Hefei, 230026, China
2. School of Mathematical Science, Anhui University, Hefei, 230039, China
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| Abstract: | 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. |
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| Keywords: | asymptotics Farlie-Gumbel-Morgenstern distribution quasi-asymptotic independence regular variation ruin probabilities |
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