Extremes and products of multivariate AC-product risks

Yang Yang and Enkelejd Hashorva

Insurance: Mathematics and Economics, 2013, vol. 52, issue 2, 312-319

Abstract: With motivation from Tang et al. (2011), in this paper we consider a tractable multivariate risk structure which includes the Sarmanov dependence structure as a special case. We derive several asymptotic results for both the sum and the product of such risk and then present three applications related to actuarial mathematics.

Keywords: AC-product distribution; Sarmanov distribution; Random deflators; Risk aggregation; Ruin probability (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167668713000097
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:52:y:2013:i:2:p:312-319

DOI: 10.1016/j.insmatheco.2013.01.005

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
Bibliographic data for series maintained by Catherine Liu ().