TY - JOUR
T1 - Asymptotic Multivariate Finite-time Ruin Probability with Statistically Dependent Heavy-tailed Claims
AU - Li, Xiaohu
AU - Wu, Jintang
AU - Zhuang, Jinsen
N1 - Publisher Copyright:
© 2013, Springer Science+Business Media New York.
PY - 2015/6/1
Y1 - 2015/6/1
N2 - This note deals with the multiple lines of business of an insurance company, in which capital transfers between lines are partially allowed. Under the framework of heavy-tailed non-identically marginal distributed claim amounts with some dependent structure, we derive the asymptotic finite-time ruin probability and study the optimal allocation of the global initial reserve in the sense of minimizing the asymptotic ruin probability. Some numerical simulations results are presented as well.
AB - This note deals with the multiple lines of business of an insurance company, in which capital transfers between lines are partially allowed. Under the framework of heavy-tailed non-identically marginal distributed claim amounts with some dependent structure, we derive the asymptotic finite-time ruin probability and study the optimal allocation of the global initial reserve in the sense of minimizing the asymptotic ruin probability. Some numerical simulations results are presented as well.
KW - Asymptotic independence
KW - Capital transfer
KW - Optimal allocation
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U2 - 10.1007/s11009-013-9375-2
DO - 10.1007/s11009-013-9375-2
M3 - Article
AN - SCOPUS:84889841121
SN - 1387-5841
VL - 17
SP - 463
EP - 477
JO - Methodology and Computing in Applied Probability
JF - Methodology and Computing in Applied Probability
IS - 2
ER -