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.

► We explore a wide class of dependent risks which are absolutely continuous with respect to some reference product distribution. ► The extremal behaviour of the product of dependent risks is derived under standard extreme value conditions. ► We present three applications of our findings of relevance for insurance, finance and risk management.