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Search: subject:"finite-time ruin probabilities"
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Capital transfer
1
Finite-time ruin probabilities
1
Multivariate finite-time ruin probabilities
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Multivariate regular variation
1
Optimal allocation
1
Poisson spacing
1
Risk process
1
Sub-prime effect
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asymptotic approximation for large initial reserves
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asymptotic behavior
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correlation crisis
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finite-time ruin probabilities
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heavy-tailed claim amounts
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heavy-tailed claim size distribution
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non-stationarity
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path-dependent claims
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processes with dependent increments
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ruin theory
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Biard, Romain
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Lefèvre, Claude
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Loisel, Stéphane
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1
Asymptotic multivariate
finite-time
ruin
probabilities
with heavy-tailed claim amounts: Impact of dependence and optimal reserve allocation
Biard, Romain
-
HAL
-
2013
asymptotics of
finite-time
ruin
probabilities
. Capital transfers between lines are partially allowed. When claim amounts are …
Persistent link: https://www.econbiz.de/10010820953
Saved in:
2
Asymptotic
Finite-Time
Ruin
Probabilities
for a Class of Path-Dependent Heavy-Tailed Claim Amounts Using Poisson Spacings
Biard, Romain
;
Lefèvre, Claude
;
Loisel, Stéphane
; …
-
HAL
-
2011
, for large initial reserves, the asymptotic
finite-time
ruin
probabilities
of the company when the claim sizes have a heavy …
Persistent link: https://www.econbiz.de/10008790638
Saved in:
3
Impact of correlation crises in risk theory
Biard, Romain
;
Lefèvre, Claude
;
Loisel, Stéphane
-
HAL
-
2008
stationarity assumptions and extend some asymptotic results on
finite-time
ruin
probabilities
, to take into account possible …
Persistent link: https://www.econbiz.de/10008790722
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