Approximations of the tail probability of the product of dependent extremal random variables and applications

Zhihui Qu and Yu Chen

Insurance: Mathematics and Economics, 2013, vol. 53, issue 1, 169-178

Abstract: In this paper, we investigate the tail probability of the product X∏i=1nYi, where (X,Y1,…,Yn) follows a multivariate Sarmanov distribution. An explicit asymptotic formula is established for the tail probability of the product when X belongs to the Fréchet, Gumbel, or Weibull max-domain of attraction. As applications, we consider a discrete-time risk model with dependent insurance and financial risks, and obtain the asymptotic behavior for the (in)finite-time ruin probabilities.

Keywords: Asymptotics; Extreme value distribution; Heavy-tailed distribution; Multivariate Sarmanov distribution; Quasi-asymptotically independent; Ruin probabilities (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:53:y:2013:i:1:p:169-178

DOI: 10.1016/j.insmatheco.2013.04.010

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