Article: article from journal or magazin.
Exponential behavior in the presence of dependence in risk theory
Journal of Applied Probability
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.
Dependence, Risk model, Copula, Renewal theory, Wiener-Hopf theory
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