Interplay of financial and insurance risks in dependent discrete-time risk models

DOI10.1016/j.spl.2020.108752zbMath1436.62501OpenAlexW3010273332MaRDI QIDQ2173360

Tao Jiang, Yang Yang, Kam-Chuen Yuen, Kai Yong Wang

Publication date: 22 April 2020

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2020.108752

zbMATH Keywords

asymptoticsconvolution equivalencebivariate Sarmanov distributionstrongly regular variation

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10) Risk models (general) (91B05)

Related Items (4)

A mathematical model of insurer bankruptcy on a finite time interval ⋮ Asymptotic results on tail moment for light-tailed risks ⋮ Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model ⋮ Asymptotics for ultimate ruin probability in a by-claim risk model

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