Asymptotic multivariate finite-time ruin probabilities with heavy-tailed claim amounts: Impact of dependence and optimal reserve allocation
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2013
- ISIDORE Id: 10670/1.130a2b...
- hal: hal-00538571
info:eu-repo/semantics/OpenAccess
Mots-clés
Multivariate finite-time ruin probabilities Multivariate regular variation Capital transfer Optimal allocationSujets proches
Probability Statistical inferenceCiter ce document
Romain Biard, « Asymptotic multivariate finite-time ruin probabilities with heavy-tailed claim amounts: Impact of dependence and optimal reserve allocation », HAL SHS (Sciences de l’Homme et de la Société), ID : 10670/1.130a2b...
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Résumé
In 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.
