An asymptotic relationship for ruin probabilities under heavy-tailed claims
β Scribed by Qihe Tang
- Book ID
- 111783809
- Publisher
- SP Science China Press
- Year
- 2002
- Tongue
- English
- Weight
- 184 KB
- Volume
- 45
- Category
- Article
- ISSN
- 1674-7283
- DOI
- 10.1360/02ys9068
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π SIMILAR VOLUMES
In this paper, we consider two dependent classes of insurance business with heavy-tailed claims. The dependence comes from the assumption that claim arrivals of the two classes are governed by a common renewal counting process. We study two types of ruin in the two-dimensional framework. For each ty
In the compound Poisson risk model, several strong hypotheses may be found too restrictive to describe accurately the evolution of the reserves of an insurance company. This is especially true for a company that faces natural disaster risks like earthquake or flooding. For such risks, claim amounts