Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed
AbstractIn the renewal risk model, several strong hypotheses may be found too restrictive to model accurately the complex evolution of the reserves of an insurance company. In the case where claim sizes are heavy-tailed, we relax the independence and stationarity assumptions and extend some asymptotic results on finite-time ruin probabilities, to take into account possible correlation crises like the one recently bred by the sub-prime crisis: claim amounts, in general assumed to be independent, may suddenly become strongly positively dependent. The impact of dependence and non-stationarity is analyzed and several concrete examples are given.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 43 (2008)
Issue (Month): 3 (December)
Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/505554
Finite-time ruin probabilities Ruin theory Correlation crisis Sub-prime effect Processes with dependent increments Asymptotic behavior Non-stationarity Heavy-tailed claim size distribution;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Cossette, Helene & Marceau, Etienne, 2000. "The discrete-time risk model with correlated classes of business," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 26(2-3), pages 133-149, May.
- Ignatov, Zvetan G. & Kaishev, Vladimir K. & Krachunov, Rossen S., 2001. "An improved finite-time ruin probability formula and its Mathematica implementation," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 29(3), pages 375-386, December.
- Frostig, Esther, 2003. "Ordering ruin probabilities for dependent claim streams," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 32(1), pages 93-114, February.
- Alink, Stan & Lowe, Matthias & V. Wuthrich, Mario, 2004. "Diversification of aggregate dependent risks," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 35(1), pages 77-95, August.
- repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
- Albrecher, Hansjorg & Boxma, Onno J., 2004. "A ruin model with dependence between claim sizes and claim intervals," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 35(2), pages 245-254, October.
- Laurent Devineau & Stéphane Loisel, 2009. "Risk aggregation in Solvency II: How to converge the approaches of the internal models and those of the standard formula?," Post-Print, HAL hal-00403662, HAL.
- Romain Biard, 2013. "Asymptotic multivariate finite-time ruin probabilities with heavy-tailed claim amounts: Impact of dependence and optimal reserve allocation," Post-Print, HAL hal-00538571, HAL.
- Stéphane Loisel & Christian Mazza & Didier Rullière, 2009.
"Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes,"
- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2009. "Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 45(3), pages 374-381, December.
- Stéphane Loisel & Xavier Milhaud, 2011.
"From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital,"
- Loisel, Stéphane & Milhaud, Xavier, 2011. "From deterministic to stochastic surrender risk models: Impact of correlation crises on economic capital," European Journal of Operational Research, Elsevier, Elsevier, vol. 214(2), pages 348-357, October.
- Chen, Yiqing & Yuen, Kam C., 2012. "Precise large deviations of aggregate claims in a size-dependent renewal risk model," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 51(2), pages 457-461.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.