Asymptotic Multivariate Finite-time Ruin Probability with Statistically Dependent Heavy-tailed Claims
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| 024 | 7 | 0 | |a 10.1007/s11009-013-9375-2 |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s11009-013-9375-2 | ||
| 245 | 0 | 0 | |a Asymptotic Multivariate Finite-time Ruin Probability with Statistically Dependent Heavy-tailed Claims |h [Elektronische Daten] |c [Xiaohu Li, Jintang Wu, Jinsen Zhuang] |
| 520 | 3 | |a 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. | |
| 540 | |a Springer Science+Business Media New York, 2013 | ||
| 690 | 7 | |a Asymptotic independence |2 nationallicence | |
| 690 | 7 | |a Capital transfer |2 nationallicence | |
| 690 | 7 | |a Optimal allocation |2 nationallicence | |
| 700 | 1 | |a Li |D Xiaohu |u School of Mathematical Sciences, Xiamen University, 361005, Xiamen, China |4 aut | |
| 700 | 1 | |a Wu |D Jintang |u School of Mathematical Sciences, Xiamen University, 361005, Xiamen, China |4 aut | |
| 700 | 1 | |a Zhuang |D Jinsen |u School of Mathematical Sciences, Huaqiao University, 362021, Quanzhou, China |4 aut | |
| 773 | 0 | |t Methodology and Computing in Applied Probability |d Springer US; http://www.springer-ny.com |g 17/2(2015-06-01), 463-477 |x 1387-5841 |q 17:2<463 |1 2015 |2 17 |o 11009 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s11009-013-9375-2 |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s11009-013-9375-2 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Li |D Xiaohu |u School of Mathematical Sciences, Xiamen University, 361005, Xiamen, China |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Wu |D Jintang |u School of Mathematical Sciences, Xiamen University, 361005, Xiamen, China |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Zhuang |D Jinsen |u School of Mathematical Sciences, Huaqiao University, 362021, Quanzhou, China |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Methodology and Computing in Applied Probability |d Springer US; http://www.springer-ny.com |g 17/2(2015-06-01), 463-477 |x 1387-5841 |q 17:2<463 |1 2015 |2 17 |o 11009 | ||