| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1153895 | Statistics & Probability Letters | 2007 | 4 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Qihe Tang, Raluca Vernic,