Ruin probabilities under Sarmanov dependence structure

Article Type

Research Article

Publication Title

Statistics and Probability Letters

Abstract

Our work aims to study the tail behaviour of weighted sums of the form ∑i=1∞Xi∏j=1iYj, where (Xi, Yi) are independent and identically distributed, with common joint distribution bivariate Sarmanov. Such quantities naturally arise in financial risk models. Each Xi has a regularly varying tail. With sufficient conditions similar to those used by Denisov and Zwart (2007) imposed on these two sequences, and with certain suitably summable bounds similar to those proposed by Hazra and Maulik (2012), we explore the tail distribution of the random variable supn≥1∑i=1nXi∏j=1iYj. The sufficient conditions used will relax the moment conditions on the (Yi) sequence.

First Page

173

Last Page

182

DOI

10.1016/j.spl.2016.05.021

Publication Date

10-1-2016

Comments

Open Access; Green Open Access

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