Qu, Zhihui; Chen, Yu - In: Insurance: Mathematics and Economics 53 (2013) 1, pp. 169-178
In this paper, we investigate the tail probability of the product X∏i=1nYi, 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...