Exponential behavior in the presence of dependence in risk theory
Détails
Télécharger: BIB_6BC4184ED303.P001.pdf (219.16 [Ko])
Etat: Public
Version: de l'auteur⸱e
Etat: Public
Version: de l'auteur⸱e
ID Serval
serval:BIB_6BC4184ED303
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Exponential behavior in the presence of dependence in risk theory
Périodique
Journal of Applied Probability
ISSN
0021-9002
Statut éditorial
Publié
Date de publication
2006
Peer-reviewed
Oui
Volume
43
Numéro
1
Pages
257-273
Langue
anglais
Résumé
We consider an insurance portfolio situation in which there is possible dependence between the waiting time for a claim and its actual size. By employing the underlying random walk structure we obtain explicit exponential estimates for infinite- and finite-time ruin probabilities in the case of light-tailed claim sizes. The results are illustrated in several examples, worked out for specific dependence structures.
Mots-clé
Dependence, Risk model, Copula, Renewal theory, Wiener-Hopf theory
Web of science
Open Access
Oui
Création de la notice
09/02/2009 19:26
Dernière modification de la notice
20/08/2019 14:25