Ruin with insurance and financial risks following the least risky FGM dependence structure

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<dc:creator>Chen, Yiqing</dc:creator>
<dc:date>2015-05-04</dc:date>
<dc:description xml:lang="es">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.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/152952.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">Ruin with insurance and financial risks following the least risky FGM dependence structure</dc:title>
<dc:relation xml:lang="es">En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 04/05/2015 Volumen 62 - mayo 2015 </dc:relation>
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