التفاصيل البيبلوغرافية
| العنوان: |
Asymptotic Finite-Time Ruin Probabilities for a Class of Path-Dependent Heavy-Tailed Claim Amounts Using Poisson Spacings |
| المؤلفون: |
Romain Biard, Claude Lefèvre, Stéphane Loisel, Haikady Nagaraja |
| المصدر: |
HAL, Post-Print. |
| الوصف: |
In the compound Poisson risk model, several strong hypotheses may be found too restrictive to describe accurately the evolution of the reserves of an insurance company. This is especially true for a company that faces natural disaster risks like earthquake or flooding. For such risks, claim amounts are often inter-dependent and they may also depend on the history of the natural phenomenon. The present paper is concerned with a situation of this kind where each claim amount depends on the previous interclaim arrival time, or on past interclaim arrival times in a more complex way. Our main purpose is to evaluate, for large initial reserves, the asymptotic finite-time ruin probabilities of the company when the claim sizes have a heavy-tailed distribution. The approach is based more particularly on the analysis of spacings in a conditioned Poisson process. |
| Original Identifier: |
hal-00409418 |
| نوع الوثيقة: |
redif-paper |
| اللغة: |
English |
| DOI: |
10.1002/asmb.857 |
| الإتاحة: |
https://ideas.repec.org/p/hal/journl/hal-00409418.html |
| رقم الأكسشن: |
edsrep.p.hal.journl.hal.00409418 |
| قاعدة البيانات: |
RePEc |
