Ruin probabilities under Sarmanov dependence structure

DOI10.1016/j.spl.2016.05.021zbMath1397.60088arXiv1601.04637OpenAlexW2404161251MaRDI QIDQ310666

Moumanti Podder, Krishanu Maulik

Publication date: 8 September 2016

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

Full work available at URL: https://arxiv.org/abs/1601.04637

zbMATH Keywords

regular variationSarmanov distributionproduct of random variablesruin probabilities

Mathematics Subject Classification ID

Related Items (2)

On a class of bivariate mixed Sarmanov distributions ⋮ Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks

Cites Work

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• Moving averages with random coefficients and random coefficient autoregressive models
• Properties and applications of the sarmanov family of bivariate distributions
• On a Theorem of Breiman and a Class of Random Difference Equations

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