Asymptotic Multivariate Finite-time Ruin Probability with Statistically Dependent Heavy-tailed Claims
Asymptotic Multivariate Finite-time Ruin Probability with Statistically Dependent Heavy-tailed Claims
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DOI：
10.1007/s11009-013-9375-2
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发表时间：
2015-06
影响因子：
0.9
通讯作者：
Xiaohu Li;Jintang Wu;J. Zhuang
中科院分区：
文献类型：
--
作者：
Xiaohu Li;Jintang Wu;J. Zhuang
本说明涉及保险公司的多个业务线，其中部分允许业务线之间的资本转移。在索赔额具有相依结构的重尾非同边际分布框架下，得到了渐近有限时间破产概率，并在极小化渐近破产概率的意义下研究了全局初始准备金的最优配置问题.并给出了一些数值模拟结果。
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.