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国家自然科学基金(s10801124)

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Ruin probabilities with insurance and financial risks having an FGM dependence structure被引量:3
2014年
We consider a discrete-time risk model,in which insurance risks and financial risks jointly follow a multivariate Farlie-Gumbel-Morgenstern distribution,and the insurance risks are regularly varying tailed.Explicit asymptotic formulae are obtained for finite-time and infinite-time ruin probabilities.Some numerical results are also presented to illustrate the accuracy of our asymptotic formulae.
CHEN YuYANG YingYing
关键词:ASYMPTOTICS
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