Asymptotic Finite-Time Ruin Probabilities for a Class of Path-Dependent Heavy-Tailed Claim Amounts Using Poisson Spacings
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Abstract
Suggested Citation
DOI: 10.1002/asmb.857
Note: View the original document on HAL open archive server: https://hal.science/hal-00409418
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Other versions of this item:
- Romain Biard & Claude Lefèvre & Stéphane Loisel & Haikady N. Nagaraja, 2011. "Asymptotic finite‐time ruin probabilities for a class of path‐dependent heavy‐tailed claim amounts using Poisson spacings," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 27(5), pages 503-518, September.
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Cited by:
- Li, Xiaohu & Wu, Jintang, 2014. "Asymptotic tail behavior of Poisson shot-noise processes with interdependence between shock and arrival time," Statistics & Probability Letters, Elsevier, vol. 88(C), pages 15-26.
- Søren Asmussen & Romain Biard, 2011. "Ruin probabilities for a regenerative Poisson gap generated risk process," Post-Print hal-00569254, HAL.
- Chen, Yiqing & Yuen, Kam C., 2012. "Precise large deviations of aggregate claims in a size-dependent renewal risk model," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 457-461.
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Keywords
Risk process; path-dependent claims; heavy-tailed claim amounts; Poisson spacing; finite-time ruin probabilities; asymptotic approximation for large initial reserves;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2010-07-24 (Risk Management)
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