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
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.08.004 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2031144750 / rank | |||
Normal rank |
Revision as of 21:41, 19 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
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)
0 references
16 January 2009
0 references
finite-time ruin probabilities
0 references
ruin theory
0 references
correlation crisis
0 references
sub-prime effect
0 references
processes with dependent increments
0 references
asymptotic behavior
0 references
non-stationarity
0 references
heavy-tailed claim size distribution
0 references