Asymptotic multivariate finite-time ruin probabilities with heavy-tailed claim amounts: Impact of dependence and optimal reserve allocation

Romain Biard ()
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Romain Biard: LMB - Laboratoire de Mathématiques de Besançon (UMR 6623) - CNRS - Centre National de la Recherche Scientifique - UFC - Université de Franche-Comté - UBFC - Université Bourgogne Franche-Comté [COMUE]

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Abstract: In ruin theory, the univariate model may be found too restrictive to describe accurately the complex evolution of the reserves of an insurance company. In the case where the company is composed of multiple lines of business, we compute asymptotics of finite-time ruin probabilities. Capital transfers between lines are partially allowed. When claim amounts are regularly varying distributed, several forms of dependence between the lines are considered. We also study the optimal allocation of a large global initial reserve in order to minimize the asymptotic ruin probability.

Keywords: Multivariate finite-time ruin probabilities; Multivariate regular variation; Capital transfer; Optimal allocation (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-ger and nep-rmg
Note: View the original document on HAL open archive server: https://hal.science/hal-00538571v2
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Citations: View citations in EconPapers (3)

Published in Bulletin Français d'Actuariat, 2013, 13 (26), pp. 79-92

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00538571

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