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Extremes and products of multivariate AC-product risks
Insurance: Mathematics and Economics
With motivation from Tang et al. (2011), in this paper we consider a tractable multivariate risk structure which includes the Sarmanov dependence structure as a special case. We derive several asymptotic results for both the sum and the product of such risk and then present three applications related to actuarial mathematics.
AC-product distribution, Sarmanov distribution, Random deflators, Risk aggregation, Ruin probability
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