Exponential behavior in the presence of dependence in risk theory
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State: Public
Version: author
State: Public
Version: author
Serval ID
serval:BIB_6BC4184ED303
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Exponential behavior in the presence of dependence in risk theory
Journal
Journal of Applied Probability
ISSN
0021-9002
Publication state
Published
Issued date
2006
Peer-reviewed
Oui
Volume
43
Number
1
Pages
257-273
Language
english
Abstract
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.
Keywords
Dependence, Risk model, Copula, Renewal theory, Wiener-Hopf theory
Web of science
Open Access
Yes
Create date
09/02/2009 19:26
Last modification date
20/08/2019 14:25