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

Romain Biard (1)

1 LMB - Laboratoire de Mathématiques de Besançon (UMR 6623)

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.

Mots clés: Multivariate finite-time ruin probabilities; Multivariate regular variation; Capital transfer; Optimal allocation

Domaines: Probabilités [math.PR]; Economies et finances

Romain Biard. Asymptotic multivariate finite-time ruin probabilities with heavy-tailed claim amounts: Impact of dependence and optimal reserve allocation. Bulletin Français d'Actuariat, 2013, 13 (26), pp. 79-92. ⟨hal-00538571v2⟩