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Asymptotic Multivariate Finite-time Ruin Probability with Statistically Dependent Heavy-tailed Claims

Author

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  • Xiaohu Li

    (Xiamen University)

  • Jintang Wu

    (Xiamen University)

  • Jinsen Zhuang

    (Huaqiao University)

Abstract

This note deals with the multiple lines of business of an insurance company, in which capital transfers between lines are partially allowed. Under the framework of heavy-tailed non-identically marginal distributed claim amounts with some dependent structure, we derive the asymptotic finite-time ruin probability and study the optimal allocation of the global initial reserve in the sense of minimizing the asymptotic ruin probability. Some numerical simulations results are presented as well.

Suggested Citation

  • Xiaohu Li & Jintang Wu & Jinsen Zhuang, 2015. "Asymptotic Multivariate Finite-time Ruin Probability with Statistically Dependent Heavy-tailed Claims," Methodology and Computing in Applied Probability, Springer, vol. 17(2), pages 463-477, June.
    • Handle: RePEc:spr:metcap:v:17:y:2015:i:2:d:10.1007_s11009-013-9375-2
    DOI: 10.1007/s11009-013-9375-2
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    References listed on IDEAS

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    1. Philippe Picard & Claude Lefèvre & Ibrahim Coulibaly, 2003. "Multirisks Model and Finite-Time Ruin Probabilities," Methodology and Computing in Applied Probability, Springer, vol. 5(3), pages 337-353, September.
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    7. Dominik Kortschak & Hansjörg Albrecher, 2009. "Asymptotic Results for the Sum of Dependent Non-identically Distributed Random Variables," Methodology and Computing in Applied Probability, Springer, vol. 11(3), pages 279-306, September.
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    Cited by:

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    2. Asma Teimouri & Mahbanoo Tata & Mohsen Rezapour & Rafal Kulik & Narayanaswamy Balakrishnan, 2021. "Asymptotic Behavior of Eigenvalues of Variance-Covariance Matrix of a High-Dimensional Heavy-Tailed Lévy Process," Methodology and Computing in Applied Probability, Springer, vol. 23(4), pages 1353-1375, December.
    3. Guusje Delsing & Michel Mandjes & Peter Spreij & Erik Winands, 2021. "On Capital Allocation for a Risk Measure Derived from Ruin Theory," Papers 2103.16264, arXiv.org.
    4. Li, Jinzhu, 2022. "Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 38-56.
    5. Yiqing Chen & Jiajun Liu & Yang Yang, 2023. "Ruin under Light-Tailed or Moderately Heavy-Tailed Insurance Risks Interplayed with Financial Risks," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-26, March.
    6. Li, Jinzhu, 2016. "Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 195-204.
    7. Konstantinides, Dimitrios G. & Li, Jinzhu, 2016. "Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 38-44.

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