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

DOI10.1016/j.insmatheco.2008.08.004zbMath1152.91565OpenAlexW2031144750MaRDI QIDQ2518545

Romain Biard, Stéphane Loisel, Claude Lefèvre

Publication date: 16 January 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.08.004

zbMATH Keywords

asymptotic behaviorruin theorynon-stationarityfinite-time ruin probabilitiescorrelation crisisheavy-tailed claim size distributionprocesses with dependent incrementssub-prime effect

Mathematics Subject Classification ID

Related Items (17)

Finite-time ruin probabilities for discrete, possibly dependent, claim severities ⋮ A survey of some recent results on Risk Theory ⋮ Computing finite-time survival probabilities using multinomial approximations of risk models ⋮ Moment and polynomial bounds for ruin-related quantities in risk theory ⋮ Uniform asymptotics for ruin probabilities of multidimensional risk models with stochastic returns and regular variation claims ⋮ Ruin probabilities for Bayesian exchangeable claims processes ⋮ Precise large deviations of aggregate claims in a size-dependent renewal risk model ⋮ De Vylder type approximation of the ruin probability for the insurer-reinsurer model ⋮ Asymptotics in a time-dependent renewal risk model with stochastic return ⋮ Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes ⋮ EXOGENOUS AND ENDOGENOUS RISK FACTORS MANAGEMENT TO PREDICT SURRENDER BEHAVIOURS ⋮ Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation ⋮ From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital ⋮ Solvency need resulting from reserving risk in a ORSA context ⋮ Asymptotic multivariate finite-time ruin probability with statistically dependent heavy-tailed claims ⋮ Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model ⋮ On finite-time ruin probabilities with reinsurance cycles influenced by large claims

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