Exponential behavior in the presence of dependence in risk theory

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Etat: Public
Version: de l'auteur⸱e
ID Serval
serval:BIB_6BC4184ED303
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
Exponential behavior in the presence of dependence in risk theory
Périodique
Journal of Applied Probability
Auteur⸱e⸱s
Albrecher H., Teugels J. L.
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
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