Ruin probabilities under Sarmanov dependence structure
نویسندگان
چکیده
منابع مشابه
On an asymptotic rule A +B/u for ultimate ruin probabilities under dependence by mixing
The purpose of this paper is to point out that an asymptotic rule A+B/u for the ultimate ruin probability applies to a wide class of dependent risk processes, in continuous or discrete time. That dependence is incorporated through a mixing model in the individual claim amount distributions. Several special mixing distributions are examined in detail and some close-form formulas are derived. Cla...
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ژورنال
عنوان ژورنال: Statistics & Probability Letters
سال: 2016
ISSN: 0167-7152
DOI: 10.1016/j.spl.2016.05.021