An Asymptotic Result on Catastrophe Insurance Losses

DOI10.1080/10920277.2023.2216764zbMATH Open1546.91221MaRDI QIDQ6583015FDOQ6583015

Authors: Yiqing Chen, Jiajun Liu 

Publication date: 5 August 2024

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

Recommendations

• Ruin probabilities under general investments and heavy-tailed claims
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• Problems on insurance of catastrophic risks
• Heavy-tailed modelling in insurance
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Mathematics Subject Classification ID

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

Cites Work

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• Extreme Value Theory as a Risk Management Tool
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• Note on the Tail Behavior of Random Walk Maxima with Heavy Tails and Negative Drift
• On convolution equivalence with applications
• Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
• Modeling Catastrophes and their Impact on Insurance Portfolios
• A Kesten-type bound for sums of randomly weighted subexponential random variables
• An asymptotic study of systemic expected shortfall and marginal expected shortfall

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