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

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      <subfield code="a">Chen, Yiqing</subfield>
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      <subfield code="a">Ruin with insurance and financial risks following the least risky FGM dependence structure</subfield>
      <subfield code="c">Yiqing Chen, Jiajun Liu, Fei Liu</subfield>
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      <subfield code="a">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.</subfield>
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      <subfield code="w">MAP20077100574</subfield>
      <subfield code="t">Insurance : mathematics and economics</subfield>
      <subfield code="d">Oxford : Elsevier, 1990-</subfield>
      <subfield code="x">0167-6687</subfield>
      <subfield code="g">04/05/2015 Volumen 62 - mayo 2015 </subfield>
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