Asymptotic Multivariate Finite-time Ruin Probability with Statistically Dependent Heavy-tailed Claims

Xiaohu Li (), Jintang Wu and Jinsen Zhuang
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Xiaohu Li: Xiamen University
Jintang Wu: Xiamen University
Jinsen Zhuang: Huaqiao University

Methodology and Computing in Applied Probability, 2015, vol. 17, issue 2, 463-477

Abstract: Abstract This note deals with the multiple lines of business of an insurance company, in which capital transfers between lines are partially allowed. Under the framework of heavy-tailed non-identically marginal distributed claim amounts with some dependent structure, we derive the asymptotic finite-time ruin probability and study the optimal allocation of the global initial reserve in the sense of minimizing the asymptotic ruin probability. Some numerical simulations results are presented as well.

Keywords: Asymptotic independence; Capital transfer; Optimal allocation; 62E20; 62P05; 60F10 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (7)

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DOI: 10.1007/s11009-013-9375-2

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