Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed (Q2518545): Difference between revisions
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Revision as of 07:19, 13 February 2024
scientific article
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|---|---|---|---|
| English | Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed |
scientific article |
Statements
Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed (English)
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16 January 2009
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finite-time ruin probabilities
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ruin theory
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correlation crisis
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sub-prime effect
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processes with dependent increments
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asymptotic behavior
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non-stationarity
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heavy-tailed claim size distribution
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