Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076895 | Insurance: Mathematics and Economics | 2013 | 8 Pages |
Abstract
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.
⺠We explore a wide class of dependent risks which are absolutely continuous with respect to some reference product distribution. ⺠The extremal behaviour of the product of dependent risks is derived under standard extreme value conditions. ⺠We present three applications of our findings of relevance for insurance, finance and risk management.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Yang Yang, Enkelejd Hashorva,