Ruin estimation in multivariate models with Clayton dependence structure
We consider the estimation of the ruin probability in a linear portfolio of insurance risk processes. We model the total claim amount of different business activities by compound Poisson processes. We allow for dependence of the components, which we model by a Lévy copula. We study in detail a Clayt...
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| Veröffentlicht in: | Scandinavian actuarial journal 2005-11, Vol.2005 (6), p.462-480 |
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| container_end_page | 480 |
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| container_issue | 6 |
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| container_title | Scandinavian actuarial journal |
| container_volume | 2005 |
| creator | Bregman, Yuliya Klüppelberg, Claudia |
| description | We consider the estimation of the ruin probability in a linear portfolio of insurance risk processes. We model the total claim amount of different business activities by compound Poisson processes. We allow for dependence of the components, which we model by a Lévy copula. We study in detail a Clayton-Pareto model as representative for a large claims model and a Clayton-exponential model as a small claims model. We compare the ruin probability in the Clayton dependence model with the corresponding independent and completely dependent models. |
| doi_str_mv | 10.1080/03461230500362065 |
| format | Article |
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| identifier | ISSN: 0346-1238 |
| ispartof | Scandinavian actuarial journal, 2005-11, Vol.2005 (6), p.462-480 |
| issn | 0346-1238 1651-2030 |
| language | eng |
| recordid | cdi_proquest_journals_201520391 |
| source | EBSCOhost Business Source Complete; Taylor & Francis Journals Complete |
| subjects | Actuarial science Clayton copula Insurance claims Lévy copula Mathematical models Multivariate dependence Multivariate Lévy processes Pareto optimum Probability Risk Ruin probability Studies |
| title | Ruin estimation in multivariate models with Clayton dependence structure |
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