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Ruin probabilities under Sarmanov dependence structure

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  • Maulik, Krishanu
  • Podder, Moumanti

Abstract

Our work aims to study the tail behaviour of weighted sums of the form ∑i=1∞Xi∏j=1iYj, where (Xi,Yi) are independent and identically distributed, with common joint distribution bivariate Sarmanov. Such quantities naturally arise in financial risk models. Each Xi has a regularly varying tail. With sufficient conditions similar to those used by Denisov and Zwart (2007) imposed on these two sequences, and with certain suitably summable bounds similar to those proposed by Hazra and Maulik (2012), we explore the tail distribution of the random variable supn≥1∑i=1nXi∏j=1iYj. The sufficient conditions used will relax the moment conditions on the {Yi} sequence.

Suggested Citation

  • Maulik, Krishanu & Podder, Moumanti, 2016. "Ruin probabilities under Sarmanov dependence structure," Statistics & Probability Letters, Elsevier, vol. 117(C), pages 173-182.
    • Handle: RePEc:eee:stapro:v:117:y:2016:i:c:p:173-182
    DOI: 10.1016/j.spl.2016.05.021
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    References listed on IDEAS

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    1. Yang, Yang & Hashorva, Enkelejd, 2013. "Extremes and products of multivariate AC-product risks," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 312-319.
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