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Ruin with insurance and financial risks following the least risky FGM dependence structure
Affiliation:1. College of Business and Public Administration, Drake University, 345 Aliber Hall, 2507 University Avenue, Des Moines, IA 50311, USA;2. Department of Mathematical Sciences, The University of Liverpool, Liverpool, L69 7ZL, UK;1. School of Mathematical Sciences, Nankai University, Tianjin 300071, China;2. College of Mathematics and Computer Science, Key Laboratory of High Performance Computing and Stochastic Information Processing Ministry of Education of China, Hunan Normal University, Changsha 410081, China;3. College of Business Administration, Hunan University, Changsha 410082, China;4. College of Mathematics and Computer Science, Key Laboratory of High Performance Computing and Stochastic Information Processing Ministry of Education of China, Hunan Normal University, Changsha 410081, China;1. Physics Institute, State University of Rio de Janeiro Rua São Francisco Xavier, 524–3° andar 20559-900 Rio de Janeiro, RJ, Brazil;2. Embrapa Soils Rua Jardim Botânico, 1024 22460-000 Rio de Janeiro, RJ, Brazil;1. School of Computer Science and Engineering, University of Electronic Science and Technology of China, Chengdu, 611731, China;2. School of Computer Science and Engineering, Huaihua University, Huaihua, 418008, China;3. Hunan Provincial Key Laboratory of Ecological Agriculture Intelligent Control Technology, Huaihua, 418008, China;1. Faculty of Physics, University of Warsaw, Pasteura 5, PL-02093 Warszawa, Poland;2. ETH Zürich, Department of Management, Technology and Economics, Scheuchzerstrasse 7, CH-8092 Zürich, Switzerland;1. Centre de Recerca Matemàtica, Campus de Bellaterra, Edifici C, 08193 Bellaterra (Barcelona), Spain;2. Departament de Matemàtiques, Universitat Autònoma de Barcelona, 08193 Bellaterra (Barcelona), Spain;3. Department of Econometrics, University of Barcelona, Diagonal 690, 08034 Barcelona, Spain;4. CWI – Centrum Wiskunde & Informatica, NL-1090 GB Amsterdam, The Netherlands;5. Delft University of Technology, Delft Institute of Applied Mathematics, 2628 CD Delft, The Netherlands
Abstract:
Keywords:Asymptotics  Farlie–Gumbel–Morgenstern distribution  Finite-time ruin probability  Product of dependent random variables  Subexponential distribution
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