Asymptotic multivariate finite-time ruin probabilities with heavy-tailed claim amounts: Impact of dependence and optimal reserve allocation
AbstractIn ruin theory, the univariate model may be found too restrictive to describe accurately the complex evolution of the reserves of an insurance company. In the case where the company is composed of multiple lines of business, we compute asymptotics of finite-time ruin probabilities. Capital transfers between lines are partially allowed. When claim amounts are regularly varying distributed, several forms of dependence between the lines are considered. We also study the optimal allocation of a large global initial reserve in order to minimize the asymptotic ruin probability.
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Bibliographic InfoPaper provided by HAL in its series Post-Print with number hal-00538571.
Date of creation: 2013
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Publication status: Published, Bulletin Français d'Actuariat, 2013, 13, 26, pp. 79-92
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Multivariate finite-time ruin probabilities; Multivariate regular variation; Capital transfer; Optimal allocation;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-04-11 (All new papers)
- NEP-GER-2014-04-11 (German Papers)
- NEP-RMG-2014-04-11 (Risk Management)
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.:
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