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Approximations of the tail probability of the product of dependent extremal random variables and applications

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  • Qu, Zhihui
  • Chen, Yu

Abstract

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 attraction. As applications, we consider a discrete-time risk model with dependent insurance and financial risks, and obtain the asymptotic behavior for the (in)finite-time ruin probabilities.

Suggested Citation

  • Qu, Zhihui & Chen, Yu, 2013. "Approximations of the tail probability of the product of dependent extremal random variables and applications," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 169-178.
    • Handle: RePEc:eee:insuma:v:53:y:2013:i:1:p:169-178
    DOI: 10.1016/j.insmatheco.2013.04.010
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    References listed on IDEAS

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