 Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxedRomain Biard, Claude Lefèvre and Stéphane Loisel Insurance: Mathematics and Economics, 2008, vol. 43, issue 3, 412-421 Abstract: In the renewal risk model, several strong hypotheses may be found too restrictive to model accurately the complex evolution of the reserves of an insurance company. In the case where claim sizes are heavy-tailed, we relax the independence and stationarity assumptions and extend some asymptotic results on finite-time ruin probabilities, to take into account possible correlation crises like the one recently bred by the sub-prime crisis: claim amounts, in general assumed to be independent, may suddenly become strongly positively dependent. The impact of dependence and non-stationarity is analyzed and several concrete examples are given. Keywords: Finite-time; ruin; probabilities; Ruin; theory; Correlation; crisis; Sub-prime; effect; Processes; with; dependent; increments; Asymptotic; behavior; Non-stationarity; Heavy-tailed; claim; size; distribution (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:43:y:2008:i:3:p:412-421 Access Statistics for this article Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu More articles in Insurance: Mathematics and Economics from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to econpapers@oru.se.
EconPapers is hosted by the
School of Business at Örebro University.