On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing

Christophe Dutang (), Claude Lefèvre () and Stéphane Loisel
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Christophe Dutang: LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon, IRMA - Institut de Recherche Mathématique Avancée - UNISTRA - Université de Strasbourg - CNRS - Centre National de la Recherche Scientifique
Claude Lefèvre: ULB - Département de Mathématique [Bruxelles] - ULB - Faculté des Sciences [Bruxelles] - ULB - Université libre de Bruxelles

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Abstract: The purpose of this paper is to point out that an asymptotic rule "A+B/u" for the ultimate ruin probability applies to a wide class of dependent risk models, in discrete and continuous time. Dependence is incorporated through a mixing approach among claim amounts or claim inter-arrival times, leading to a systemic risk behavior. Ruin corresponds here either to classical ruin, or to stopping the activity after realizing that it is not pro table at all, when one has little possibility to increase premium income rate. Several special cases for which closed formulas are derived, are also investigated in some detail.

Date: 2013
New Economics Papers: this item is included in nep-rmg
Note: View the original document on HAL open archive server: https://hal.science/hal-00746251v2
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Citations: View citations in EconPapers (5)

Published in Insurance: Mathematics and Economics, 2013, 53 (3), pp.774-785

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Journal Article: On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing (2013)
Working Paper: On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing (2013)
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