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| HAL : hal-00409418, version 1 |
| DOI : 10.1002/asmb.857 |
| Fiche détaillée |  Récupérer au format |
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| Applied Stochastic Models in Business and Industry (2010) xxx-xxx |
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| Asymptotic Finite-Time Ruin Probabilities for a Class of Path-Dependent Heavy-Tailed Claim Amounts Using Poisson Spacings |
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Romain Biard 1Claude Lefèvre 2 |
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| (2010) |
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| 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. |
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| 1 : | Laboratoire de Sciences Actuarielle et Financière (SAF) |
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Université Claude Bernard - Lyon I : EA2429 |
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| 2 : | Département de Mathématique |
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Université Libre de Bruxelles |
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| 3 : | Department of Statistics |
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Ohio State University |
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| Domaine | : | Sciences de l'Homme et Société/Economies et finances Mathématiques/Probabilités Mathématiques/Combinatoire |
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| Risk process – finite-time ruin probabilities – asymptotic approximation for large initial reserves – path-dependent claims – heavy-tailed claim amounts – Poisson spacing |
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| Liste des fichiers attachés à ce document : | |||||
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| hal-00409418, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00409418 | |
| oai:hal.archives-ouvertes.fr:hal-00409418 | |
| Contributeur : Stéphane Loisel | |
| Soumis le : Vendredi 7 Août 2009, 15:41:01 | |
| Dernière modification le : Jeudi 15 Juillet 2010, 23:33:01 | |
