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
From MaRDI portal
Publication:2518545
DOI10.1016/j.insmatheco.2008.08.004zbMath1152.91565MaRDI 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
asymptotic behavior; ruin theory; non-stationarity; finite-time ruin probabilities; correlation crisis; heavy-tailed claim size distribution; processes with dependent increments; sub-prime effect
Related Items
Computing finite-time survival probabilities using multinomial approximations of risk models, De Vylder type approximation of the ruin probability for the insurer-reinsurer model, EXOGENOUS AND ENDOGENOUS RISK FACTORS MANAGEMENT TO PREDICT SURRENDER BEHAVIOURS, Uniform asymptotics for ruin probabilities of multidimensional risk models with stochastic returns and regular variation claims, 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, Finite-time ruin probabilities for discrete, possibly dependent, claim severities, Ruin probabilities for Bayesian exchangeable claims processes, 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, Precise large deviations of aggregate claims in a size-dependent renewal risk model, Asymptotic multivariate finite-time ruin probability with statistically dependent heavy-tailed claims, Moment and polynomial bounds for ruin-related quantities in risk theory, On finite-time ruin probabilities with reinsurance cycles influenced by large claims, Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model, A survey of some recent results on Risk Theory
Cites Work
- Unnamed Item
- Unnamed Item
- A ruin model with dependence between claim sizes and claim intervals
- An introduction to copulas.
- Asymptotic results for the sum of dependent non-identically distributed random variables
- Moments' analysis in homogeneous Markov reward models
- An improved finite-time ruin probability formula and its \(Mathematica\) implementation.
- Ordering ruin probabilities for dependent claim streams.
- Multirisks model and finite-time ruin probabilities
- The discrete-time risk model with correlated classes of business
- Domains of attraction of multivariate extreme value distributions
- Diversification of aggregate dependent risks
- Tail asymptotics for the sum of two heavy-tailed dependent risks
- The Extremal Dependence Measure and Asymptotic Independence
- On a risk model with dependence between interclaim arrivals and claim sizes
- On the Tail Behavior of Sums of Dependent Risks
- The s-convex orders among real random variables, with applications
- Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
- Risk theory in a Markovian environment
- On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications
- Comparing sums of exchangeable Bernoulli random variables
- Analysis of the Expected Shortfall of Aggregate Dependent Risks
