ISSN 0253-2778

CN 34-1054/N

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Ruin probability of the Sarmanov structure among finance and insurance risks with regularly varying tails

  • Department of Statistics and Finance, School of Management, University of Science and Technology of China, Hefei 230026, China

Cite this: JUSTC, 2015, 45(8): 627-632
https://doi.org/10.3969/j.issn.0253-2778.2015.08.002
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  • Corresponding author:

    CHEN Yu (corresponding author), female, born in 1978, PhD/associate Prof. Research field: limit theory in risk theory.

  • Received Date: February 05, 2015
  • Revised Date: May 25, 2015
  • Published Date: August 30, 2015
    Abstract
  • A discrete-time insurance risk model was considered, in which the insurance risks and financial risks follow jointly multivariate Sarmanov distributions, and the asymptotic formula for ruin probability was obtained.
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