| LDR | | | 00000cab a2200000 4500 |
| 001 | | | MAP20150023704 |
| 003 | | | MAP |
| 005 | | | 20150707153723.0 |
| 008 | | | 150626e20150504esp|||p |0|||b|spa d |
| 040 | | | $aMAP$bspa$dMAP |
| 084 | | | $a6 |
| 100 | 1 | | $0MAPA20150012845$aChen, Yiqing |
| 245 | 1 | 0 | $aRuin with insurance and financial risks following the least risky FGM dependence structure$cYiqing Chen, Jiajun Liu, Fei Liu |
| 520 | | | $aRecently, Chen (2011) studied the finite-time ruin probability in a discrete-time risk model in which the insurance and financial risks form a sequence of independent and identically distributed random pairs with common bivariate FarlieGumbelMorgenstern (FGM) distribution. The parameter 0 of the FGM distribution governs the strength of dependence, with a smaller value of 0 corresponding to a less risky situation. For the subexponential case with -1<0=1, a general asymptotic formula for the finite-time ruin probability was derived. However, the derivation there is not valid for the least risky case 0=-1. In this paper, we complete the study by extending it to ?=-1. The new formulas for 0=-1 look very different from, but are intrinsically consistent with, the existing one for -1<0=1, and they offer a quantitative understanding on how significantly the asymptotic ruin probability decreases when ? switches from its normal range to its negative extremum. |
| 773 | 0 | | $wMAP20077100574$tInsurance : mathematics and economics$dOxford : Elsevier, 1990-$x0167-6687$g04/05/2015 Volumen 62 - mayo 2015 |
| 856 | | | $yMÁS INFORMACIÓN$umailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A |
