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

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1001 ‎$0‎MAPA20150012845‎$a‎Chen, Yiqing
24510‎$a‎Ruin with insurance and financial risks following the least risky FGM dependence structure‎$c‎Yiqing Chen, Jiajun Liu, Fei Liu
520  ‎$a‎Recently, Chen (2011) studied the finite-time ruin probability in a discrete-time risk model in which the insurance and financial risks form a sequence of independent and identically distributed random pairs with common bivariate FarlieGumbelMorgenstern (FGM) distribution. The parameter 0 of the FGM distribution governs the strength of dependence, with a smaller value of 0 corresponding to a less risky situation. For the subexponential case with -1<0=1, a general asymptotic formula for the finite-time ruin probability was derived. However, the derivation there is not valid for the least risky case 0=-1. In this paper, we complete the study by extending it to ?=-1. The new formulas for 0=-1 look very different from, but are intrinsically consistent with, the existing one for -1<0=1, and they offer a quantitative understanding on how significantly the asymptotic ruin probability decreases when ? switches from its normal range to its negative extremum.
7730 ‎$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