Exponential Behavior in the Presence of Dependence in Risk Theory

DOI10.1239/JAP/1143936258zbMATH Open1097.62110OpenAlexW2040707473MaRDI QIDQ5489004FDOQ5489004

Authors: Hansjörg Albrecher, J. L. Teugels 

Publication date: 25 September 2006

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1143936258

Recommendations

• On a risk model with dependence between claim sizes and claim intervals
• Explicit ruin formulas for models with dependence among risks
• Ruin under stochastic dependence between premium and claim arrivals
• On the ruin probability for the dependent risk model
• A ruin model with dependence between claim sizes and claim intervals

zbMATH Keywords

risk modelcopulasWiener-Hopf theory

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Sums of independent random variables; random walks (60G50) Renewal theory (60K05)

Cites Work

• An introduction to copulas. Properties and applications
• Title not available (Why is that?)
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes and the GI/G/1 queue
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Some asymptotic results for transient random walks with applications to insurance risk
• Title not available (Why is that?)
• The exponential rate of convergence of the distribution of the maximum of a random walk
• The exponential rate of convergence of the distribution of the maximum of a random walk. Part II
• The Poisson integral representation of functions which are positive and harmonic in a half-plane

Cited In (94)

• Estimates for the ruin probability of a time-dependent renewal risk model with dependent by-claims
• Optimal investment of a time-dependent renewal risk model with stochastic return
• A perturbed risk model with dependence between premium rates and claim sizes
• Dependence and the asymptotic behavior of large claims reinsurance
• The Gerber-Shiu expected penalty function for the risk model with dependence and a constant dividend barrier
• Asymptotics for a time-dependent renewal risk model with subexponential main claims and delayed claims
• Asymptotics in a time-dependent renewal risk model with stochastic return
• A note on discounted compound renewal sums under dependency
• Precise large deviation results for sums of sub-exponential claims in a size-dependent renewal risk model
• Queues and Risk Processes with Dependencies
• Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns
• On the probability of ruin in the compound Poisson risk model with potentially delayed claims
• A note on deficit analysis in dependency models involving Coxian claim amounts
• Precise large deviation for sums of sub-exponential claims with the \(m\)-dependent semi-Markov type structure
• Risk models with dependence between claim occurrences and severities for Atlantic hurricanes
• Risk- and value-based management for non-life insurers under solvency constraints
• The order-statistic claim process with dependent claim frequencies and severities
• Large deviations for sums of claims in a general renewal risk model with the regression dependent structure
• On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes
• Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
• On a two-dimensional risk model with time-dependent claim sizes and risky investments
• On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model
• Analysis of ruin measures for the classical compound Poisson risk model with dependence
• Tail behavior for the sum of two correlated classes of discounted aggregate claims in a time-dependent risk model
• Tail asymptotics for dependent subexponential differences
• The risk model with stochastic premiums, dependence and a threshold dividend strategy
• Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
• Asymptotic tail behavior of Poisson shot-noise processes with interdependence between shock and arrival time
• On the discounted penalty function in a Markov-dependent risk model
• Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times
• Precise large deviations for aggregate claims
• Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times
• Compound trend renewal process with discounted claims: a unified approach
• Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments
• Precise large deviations of aggregate claims in a risk model with regression-type size-dependence
• On some effects of dependencies on an insurer's risk exposure, probability of ruin, and optimal premium loading
• Ruin under stochastic dependence between premium and claim arrivals
• Strategies for dividend distribution: a review
• A generalized penalty function for a class of discrete renewal processes
• Exponential convergence rate of ruin probabilities for level-dependent Lévy-driven risk processes
• A Lundberg-type inequality for an inhomogeneous renewal risk model
• Moments of discounted aggregate claims with dependence based on Spearman copula
• On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation
• On the discounted penalty function in a perturbed Erlang renewal risk model with dependence
• Ruin probabilities in models with a Markov chain dependence structure
• Risk processes with dependence and premium adjusted to solvency targets
• Extremes on the discounted aggregate claims in a time dependent risk model
• On the analysis of a general class of dependent risk processes
• Precise large deviations of aggregate claims in a size-dependent renewal risk model
• On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps
• A note on the uniform asymptotic behavior of the finite-time ruin probability in a nonstandard renewal risk model
• Constant dividend barrier in a risk model with a generalized Farlie-Gumbel-Morgenstern copula
• Asymptotic infinite-time ruin probabilities for a bidimensional time-dependence risk model with heavy-tailed claims
• Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model
• On a risk model with dependence between interclaim arrivals and claim sizes
• On a renewal risk process with dependence under a Farlie-Gumbel-Morgenstern copula
• Uniform asymptotics for the finite-time ruin probability of a time-dependent risk model with pairwise quasiasymptotically independent claims
• A copula model for marked point processes
• Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model
• A class of risk processes with delayed claims: ruin probability estimates under heavy tail conditions
• On a ruin model with both interclaim times and premiums depending on claim sizes
• A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium
• A note on compound renewal risk models with dependence
• On orderings and bounds in a generalized Sparre Andersen risk model
• Dependent Risk Models with Bivariate Phase-Type Distributions
• Asymptotic behavior of random time ruin probability under heavy-tailed claim sizes and dependence structure
• On the evaluation of finite-time ruin probabilities in a dependent risk model
• Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times
• Some specific density functions of aggregated discounted claims with dependent risks
• Precise large deviations of aggregate claims in a size-dependent renewal risk model with stopping time claim-number process
• Finite time ruin probability and structural density properties in the presence of dependence in insurance risk model
• Precise large deviations in a non stationary risk model with arbitrary dependence between subexponential claim sizes and waiting times
• On an insurance ruin model with a causal dependence structure and perturbation
• A conversation with Jef Teugels
• The construction of a quadratic predictor of the discounted renewal claims with dependence
• Asymptotics for a time-dependent by-claim model with dependent subexponential claims
• On a perturbed Sparre Andersen risk model with threshold dividend strategy and dependence
• Finite Time Ruin Probability of the Compound Renewal Model with Constant Interest Rate and Weakly Negatively Dependent Claims with Heavy Tails
• On Simple Ruin Expressions in Dependent Sparre Andersen Risk Models
• Some mathematical properties of the premium function and ruin probability of a generalized Cramér-Lundberg model driven by mixed Poisson processes
• Estimates for the finite-time ruin probability of a time-dependent risk model with a Brownian perturbation
• Predictive risk analysis using a collective risk model: choosing between past frequency and aggregate severity information
• The maximum surplus before ruin for dependent risk models through Farlie-Gumbel-Morgenstern copula
• Hawkes processes in insurance: risk model, application to empirical data and optimal investment
• Mathematical investigation of the Gerber-Shiu function in the case of dependent inter-claim time and claim size
• Precise large deviations of aggregate claims in bidimensional risk model with dependence structures
• Review of statistical actuarial risk modelling
• On copula-based collective risk models: from elliptical copulas to vine copulas
• A survey of some recent results on risk theory
• Uniform asymptotic behavior of tail probability of maxima in a time-dependent renewal risk model
• Uniform asymptotics for ruin probabilities of a time-dependent bidimensional renewal risk model with dependent subexponential claims
• On finite-time ruin probabilities with reinsurance cycles influenced by large claims
• The impact of dependencies between climate risks on the asset and liability side of non-life insurers
• Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times

This page was built for publication: Exponential Behavior in the Presence of Dependence in Risk Theory

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5489004)