Asymptotic multivariate finite-time ruin probabilities with heavy-tailed claim amounts: Impact of dependence and optimal reserve allocation
نویسنده
چکیده
In ruin theory, the univariate model may be found too restrictive to describe accurately the complex evolution of the reserves of an insurance company. In the case where the company is composed of multiple lines of business, we compute asymptotics of finite-time ruin probabilities. Capital transfers between lines are partially allowed. When claim amounts are regularly varying distributed, several forms of dependence between the lines are considered. We also study the optimal allocation of a large global initial reserve in order to minimize the asymptotic ruin probability.
منابع مشابه
Impact of correlation crises in risk theory: asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed1
In the renewal risk model, several strong hypotheses may be found too restrictive to model accurately the complex evolution of the reserves of an insurance company. In the case where claim sizes are heavy-tailed, we relax independence and stationarity assumptions and extend some asymptotic results on finite-time ruin probabilities, to take into account possible correlation crises like the one r...
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