The impact on ruin probabilities of the association structure among financial risks

Qihe Tang and Raluca Vernic

Statistics & Probability Letters, 2007, vol. 77, issue 14, 1522-1525

Abstract: We consider a discrete-time insurance risk model, in which the financial risks constitute a stationary process with finite dimensional distributions of Farlie-Gumbel-Morgenstern type. We obtain an exact asymptotic formula for the ruin probability, reflecting the impact of this kind of association structure among the financial risks.

Keywords: Asymptotics; Farlie-Gumbel-Morgenstern; distribution; Stationary; process; Ruin; probability (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (4)

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