Exponential behavior in the presence of dependence in risk theory

被引：133

作者：

Albrecher, H

Teugels, JL

机构：

[1] Graz Univ Technol, Dept Math, A-8010 Graz, Austria

[2] Katholieke Univ Leuven, Dept Math, B-3001 Heverlee, Belgium

[3] EURANDOM, Eindhoven, Netherlands

来源：

JOURNAL OF APPLIED PROBABILITY | 2006年 / 43卷 / 01期

关键词：

dependence; risk model; copula; renewal theory; Wiener-Hopf theory;

D O I：

10.1239/jap/1143936258

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider an insurance portfolio situation in which there is possible dependence between the waiting time for a claim and its actual size. By employing the underlying random walk structure we obtain explicit exponential estimates for infinite- and finite-time ruin probabilities in the case of light-tailed claim sizes. The results are illustrated in several examples, worked out for specific dependence structures.

引用

页码：257 / 273

页数：17

共 16 条

[1]

[Anonymous], 1968, Probability

[2] CONDITIONED LIMIT-THEOREMS RELATING A RANDOM-WALK TO ITS ASSOCIATE, WITH APPLICATIONS TO RISK RESERVE PROCESSES AND THE GI/G/1 QUEUE [J].