Ruin probabilities for risk processes in a bipartite network

DOI10.1080/15326349.2020.1760109zbMath1468.60058arXiv1805.12459OpenAlexW2969859337MaRDI QIDQ4988559

Claudia Klüppelberg, Anita Behme, Gesine D. Reinert

Publication date: 17 May 2021

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1805.12459

zbMATH Keywords

Poisson approximationruin theoryhitting probabilityCramér-Lundberg modelbipartite networkPollaczek-Khintchine formulamultivariate compound Poisson processexponential claim size distributionrisk balancing network

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Random graphs (graph-theoretic aspects) (05C80) Risk models (general) (91B05)

Related Items (3)

A Dynamic Contagion Risk Model with Recovery Features ⋮ Financial risk measures for a network of individual agents holding portfolios of light-tailed objects ⋮ A \(2\times 2\) random switching model and its dual risk model

Cites Work

• A two-dimensional ruin problem on the positive quadrant
• First passage times of general sequences of random vectors: A large deviations approach
• Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results
• Risk in a Large Claims Insurance Market with Bipartite Graph Structure
• Conditional risk measures in a bipartite market structure
• Applied Probability and Queues
• The exact asymptotics of the large deviation probabilities in the multivariate boundary crossing problem
• The phase transition in inhomogeneous random graphs
• Ruin estimation in multivariate models with Clayton dependence structure
• Negative Moments of Positive Random Variables
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