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Our work aims to study the tail behaviour of weighted sums of the form $sum_{i=1}^{infty} X_{i} prod_{j=1}^{i}Y_{j}$, where $(X_{i}, Y_{i})$ are independent and identically distributed, with common joint distribution bivariate Sarmanov. Such quantities naturally arise in financial risk models. Each $X_{i}$ 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 $sup_{n geq 1}sum_{i=1}^{n} X_i prod_{j=1}^{i}Y_{j}$. The sufficient conditions used will relax the moment conditions on the ${Y_{i}}$ sequence.
We investigate the probability that an insurance portfolio gets ruined within a finite time period under the assumption that the r largest claims are (partly) reinsured. We show that for regularly varying claim sizes the probability of ruin after rei
The study deals with the ruin problem when an insurance company having two business branches, life insurance and non-life insurance, invests its reserve into a risky asset with the price dynamics given by a geometric Brownian motion. We prove a resul
In this paper we give few expressions and asymptotics of ruin probabilities for a Markov modulated risk process for various regimes of a time horizon, initial reserves and a claim size distribution. We also consider f
This paper develops asymptotics and approximations for ruin probabilities in a multivariate risk setting. We consider a model in which the individual reserve processes are driven by a common Markovian environmental process. We subsequently consider a
We consider the classical Cramer-Lundberg risk model with claim sizes that are mixtures of phase-type and subexponential variables. Exploiting a specific geometric compound representation, we propose control variate techniques to efficiently simulate