An Asymptotic Result on Catastrophe Insurance Losses

DOI10.1080/10920277.2023.2216764MaRDI QIDQ6583015zbMATHFDO

Authors Yiqing Chen, Jiajun Liu

Publication date 5 August 2024

Published in North American Actuarial Journal (Search for Journal in Brave)

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) General theory of stochastic processes (60G07)

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Cites work

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• Extreme Value Theory as a Risk Management Tool
• In the insurance business risky investments are dangerous
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• Note on the Tail Behavior of Random Walk Maxima with Heavy Tails and Negative Drift
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• On convolution equivalence with applications
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• Randomly weighted sums of subexponential random variables with application to capital allocation
• Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
• Ruin probabilities under general investments and heavy-tailed claims
• Ruin problems with assets and liabilities of diffusion type

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