 Ruin with insurance and financial risks following the least risky FGM dependence structureYiqing Chen, Jiajun Liu and Fei Liu Insurance: Mathematics and Economics, 2015, vol. 62, issue C, 98-106 Abstract: Recently, Chen (2011) studied the finite-time ruin probability in a discrete-time risk model in which the insurance and financial risks form a sequence of independent and identically distributed random pairs with common bivariate Farlie–Gumbel–Morgenstern (FGM) distribution. The parameter θ of the FGM distribution governs the strength of dependence, with a smaller value of θ corresponding to a less risky situation. For the subexponential case with −1<θ≤1, a general asymptotic formula for the finite-time ruin probability was derived. However, the derivation there is not valid for the least risky case θ=−1. In this paper, we complete the study by extending it to θ=−1. The new formulas for θ=−1 look very different from, but are intrinsically consistent with, the existing one for −1<θ≤1, and they offer a quantitative understanding on how significantly the asymptotic ruin probability decreases when θ switches from its normal range to its negative extremum. Keywords: Asymptotics; Farlie–Gumbel–Morgenstern distribution; Finite-time ruin probability; Product of dependent random variables; Subexponential distribution (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:62:y:2015:i:c:p:98-106 DOI: 10.1016/j.insmatheco.2015.03.007 Access Statistics for this article Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu More articles in Insurance: Mathematics and Economics from Elsevier |
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