Search

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

Section: Articles
Title: Approximations of the tail probability of the product of dependent extremal random variables and applications / Zhihui Qu, Yu ChenAuthor: Qu, Zhihui
Notes: 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.Related records: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 01/07/2013 Volumen 53 Número 1 - julio 2013 Other categories: 6
Referencias externas:
See issue detail