2009, English, Article edition: Asymptotic Finite-Time Ruin Probabilities for a Class of Path-Dependent Heavy-Tailed Claim Amounts Using Poisson Spacings Biard, Romain; Lefèvre, Claude; Loisel, Stéphane; ...

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Bookmark: http://trove.nla.gov.au/version/199710
Physical Description
  • text
Published
  • HAL - CCSD
  • 2009
Language
  • English

Edition details

Title
  • Asymptotic Finite-Time Ruin Probabilities for a Class of Path-Dependent Heavy-Tailed Claim Amounts Using Poisson Spacings
Author
  • Biard, Romain
  • Lefèvre, Claude
  • Loisel, Stéphane
  • Nagaraja, Haikady
Published
  • HAL - CCSD
  • 2009
Physical Description
  • text
Subjects
Notes
  • In the compound Poisson risk model, several strong hypotheses may be found too restrictive to describe accurately the evolution of the reserves of an insurance company. This is especially true for a company that faces natural disaster risks like earthquake or flooding. For such risks, claim amounts are often inter-dependent and they may also depend on the history of the natural phenomenon. The present paper is concerned with a situation of this kind where each claim amount depends on the previous interclaim arrival time, or on past interclaim arrival times in a more complex way. Our main purpose is to evaluate, for large initial reserves, the asymptotic finite-time ruin probabilities of the company when the claim sizes have a heavy-tailed distribution. The approach is based more particularly on the analysis of spacings in a conditioned Poisson process.
  • HAL:hal-00409418, version 1
  • HAL:http:/​/​hal.archives-ouvertes.fr/​hal-00409418/​en/​
Language
  • English
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