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

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<dc:creator>Qu, Zhihui</dc:creator>
<dc:date>2013-07-01</dc:date>
<dc:description xml:lang="es">Sumario: In this paper, we investigate the tail probability of the product, where (X,Y1,,Yn) follows a multivariate Sarmanov distribution. An explicit asymptotic formula is established for the tail probability of the product when X belongs to the Fréchet, 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.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/143876.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Approximations of the tail probability of the product of dependent extremal random variables and applications</dc:title>
<dc:relation xml:lang="es">En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 01/07/2013 Volumen 53 Número 1 - julio 2013 </dc:relation>
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