Extremes and products of multivariate AC-product risks

With motivation from Tang et al. (2011), in this paper we consider a tractable multivariate risk structure which includes the Sarmanov dependence structure as a special case. We derive several asymptotic results for both the sum and the product of such risk and then present three applications related to actuarial mathematics.

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Year of publication:	2013
Authors:	Yang, Yang ; Hashorva, Enkelejd
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 52.2013, 2, p. 312-319
Publisher:	Elsevier
Subject:	AC-product distribution \| Sarmanov distribution \| Random deflators \| Risk aggregation \| Ruin probability

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011046640