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Ruin probability of the Sarmanov structure among finance and insurance risks with regularly varying tails

  • Department of Statistics and Finance, School of Management, University of Science and Technology of China, Hefei 230026, China

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https://doi.org/10.3969/j.issn.0253-2778.2015.08.002
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  • Corresponding author: CHEN Yu (corresponding author), female, born in 1978, PhD/associate Prof. Research field: limit theory in risk theory.
  • Received Date: 06 February 2015
  • Rev Recd Date: 26 May 2015
  • Publish Date: 31 August 2015
    Abstract

  • Abstract

    A discrete-time insurance risk model was considered, in which the insurance risks and financial risks follow jointly multivariate Sarmanov distributions, and the asymptotic formula for ruin probability was obtained.

    Abstract

    A discrete-time insurance risk model was considered, in which the insurance risks and financial risks follow jointly multivariate Sarmanov distributions, and the asymptotic formula for ruin probability was obtained.
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