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Ruin probabilities in a discrete time risk model with dependent risks of heavy tail |
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| Authors: | Chengguo Weng Yi Zhang Ken Seng Tan |
| Affiliation: | 1. Department of Statistics and Actuarial Science , University of Waterloo , Waterloo, Ontario, N2L 3G1, Canada c2weng@uwaterloo.ca;3. Department of Mathematics , Zhejiang University , Hangzhou, Zhejiang, 310027, China;4. Canada Research Chair in Quantitative Risk Management, Department of Statistics and Actuarial Science , University of Waterloo , Waterloo, Ontario, N2L 3G1, Canada |
| Abstract: | |
| Keywords: | Discrete time risk model Ruin probability Regular variation Distributions Index of upper tail dependence Copula Net loss |