The tail probability of the product of dependent random variables from max-domains of attraction

Abstract

In this article, we investigate the tail probability of the product of finitely many non-negative dependent random variables. They follow distributions from max-domains of attraction of extreme value distributions and their dependence is modeled via a multivariate Farlie–Gumbel–Morgenstern distribution. For each of the Fréchet, Gumbel and Weibull cases, we obtain an explicit asymptotic formula for the tail probability of the product. Our study extends a few known results in the literature.