Section: ArticlesTitle: Ruin with insurance and financial risks following the least risky FGM dependence structure / Yiqing Chen, Jiajun Liu, Fei LiuAuthor: Chen, YiqingNotes: Sumario: Recently, 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.Related records: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 04/05/2015 Volumen 62 - mayo 2015 Other categories: 6Rights: In Copyright (InC)Referencias externas:
