The impact on ruin probabilities of the association structure among financial risks

We consider a discrete-time insurance risk model, in which the financial risks constitute a stationary process with finite dimensional distributions of Farlie-Gumbel-Morgenstern type. We obtain an exact asymptotic formula for the ruin probability, reflecting the impact of this kind of association structure among the financial risks.

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Year of publication:	2007
Authors:	Tang, Qihe ; Vernic, Raluca
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 77.2007, 14, p. 1522-1525
Publisher:	Elsevier
Keywords:	Asymptotics Farlie-Gumbel-Morgenstern distribution Stationary process Ruin probability

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

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