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)
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scientific article; zbMATH DE number 5493034
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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; zbMATH DE number 5493034 |
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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0.8241935968399048
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0.8100011348724365
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0.8086551427841187
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0.808279812335968
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0.8056765198707581
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