Ruin Problem, Operational Risk and How Fast Stochastic Processes Mix
نویسندگان
چکیده
Abstract. The recent increasing interplay between actuarial and financial mathematics has led to a surge of risk theoretic modeling. Especially actuarial ruin models under fairly general conditions on the underlying risk process have become a focus of attention. Motivated by applications to the modeling of operational risk losses in financial risk management, we investigate the stability of classical asymptotic ruin estimates when claims are heavy, and this under variability of the claim intensity process. Various examples are discussed.
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