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

作者：Qu Zhihui; Chen Yu^*

来源：Insurance: Mathematics and Economics , 2013, 53(1): 169-178.

DOI：10.1016/j.insmatheco.2013.04.010

• Asymptotics
• Extreme value distribution
• Heavy-tailed distribution
• Multivariate Sarmanov distribution
• Quasi-asymptotically independent
• Ruin probabilities

In this paper, we investigate the tail probability of the product X Pi(n)(i=1) Y-i, where (X, Y-1, . . . , Y-n) follows a multivariate Sarmanov distribution. An explicit asymptotic formula is established for the tail probability of the product when X belongs to the Frechet, 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.

• 出版日期2013-7
• 单位中国科学技术大学