Asymptotic Multivariate Finite-time Ruin Probability with Statistically Dependent Heavy-tailed Claims

Xiaohu Li, Jintang Wu, Jinsen Zhuang

Research output: Contribution to journalArticlepeer-review

11 Scopus citations

Abstract

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.

Original languageEnglish
Pages (from-to)463-477
Number of pages15
JournalMethodology and Computing in Applied Probability
Volume17
Issue number2
DOIs
StatePublished - 1 Jun 2015

Keywords

  • Asymptotic independence
  • Capital transfer
  • Optimal allocation

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