Exponential behavior in the presence of dependence in risk theory

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Serval ID
serval:BIB_6BC4184ED303
Type
Article: article from journal or magazin.
Collection
Publications
Title
Exponential behavior in the presence of dependence in risk theory
Journal
Journal of Applied Probability
Author(s)
Albrecher H., Teugels J. L.
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 20:26
Last modification date
20/08/2019 15:25
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