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Asymptotic Multivariate Finite-time Ruin Probability with Statistically Dependent Heavy-tailed Claims

✍ Scribed by Li, Xiaohu; Wu, Jintang; Zhuang, Jinsen

Book ID
121622184
Publisher
Springer US
Year
2013
Tongue
English
Weight
430 KB
Volume
17
Category
Article
ISSN
1387-5841

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Asymptotic finite-time ruin probabilitie
Asymptotic finite-time ruin probabilities for a class of path-dependent heavy-tailed claim amounts using Poisson spacings
✍ Romain Biard; Claude LefΓ¨vre; StΓ©phane Loisel; Haikady N. Nagaraja πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 497 KB πŸ‘ 2 views

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