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
In 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.
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- 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, vol. 29(3), pages 375-386, December.
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- Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
- Barbe, Philippe & Fougères, Anne-Laure & Genest, Christian, 2006. "On the Tail Behavior of Sums of Dependent Risks," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 36(02), pages 361-373, November.
- Frostig, Esther, 2003. "Ordering ruin probabilities for dependent claim streams," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 93-114, February.
- Albrecher, Hansjorg & Boxma, Onno J., 2004. "A ruin model with dependence between claim sizes and claim intervals," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 245-254, October.
- repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
- Alink, Stan & Löwe, Matthias & Wüthrich, Mario V., 2005. "Analysis of the Expected Shortfall of Aggregate Dependent Risks," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 35(01), pages 25-43, May.
- Alink, Stan & Lowe, Matthias & V. Wuthrich, Mario, 2004. "Diversification of aggregate dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 35(1), pages 77-95, August.
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