English, Article, Journal or magazine article edition: Dependent Risks and Ruin Probabilities in Insurance. H. Albrecher

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/138144
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Dependent Risks and Ruin Probabilities in Insurance.
Author
  • H. Albrecher
Physical Description
  • preprint
Notes
  • Classical risk process models in insurance rely on independency. However, especially when modeling natural events, this assumption is very restrictive. This paper proposes a new approach to introducing dependency structures between events into the model and investigates its effects on a crucial parameter for insurance companies, the probability of ruin. Explicit formulas, numerical simulations and sensitivity results for dependence are established for different dependency models of first-order markovian type indicating that for various scenarios dependency considerably increases the probability of ruin.
  • RePEc:wop:iasawp:ir98072
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment