Asymptotic multivariate finite-time ruin probabilities with heavy-tailed claim amounts: Impact of dependence and optimal reserve allocation
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References listed on IDEAS
- Cai, Jun & Li, Haijun, 2007. "Dependence properties and bounds for ruin probabilities in multivariate compound risk models," Journal of Multivariate Analysis, Elsevier, vol. 98(4), pages 757-773, April.
- Stéphane Loisel, 2005. "Differentiation of some functionals of risk processes," Post-Print hal-00157739, HAL.
- Biard, Romain & Lefèvre, Claude & Loisel, Stéphane, 2008. "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," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 412-421, December.
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KeywordsMultivariate finite-time ruin probabilities; Multivariate regular variation; Capital transfer; Optimal allocation;
NEP fieldsThis 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)
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