The Annals of Applied Probability

Ruin problem and how fast stochastic processes

Paul Embrechts and Gennady Samorodnitsky

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Abstract

The recent increasing interplay between actuarial and financial mathematics has led to a surge in risk theoretic modeling. Especially actuarial ruin models under fairly general conditions on the underlying risk process have become a focus of attention. Motivated by applications such as the modeling of operational risk losses in financial risk management, we investigate the stability of classical asymptotic ruin estimates when claims are heavy, and this under variability of the claim intensity process. Various examples are discussed.

Article information

Source
Ann. Appl. Probab., Volume 13, Number 1 (2003), 1-36.

Dates
First available in Project Euclid: 16 January 2003

Permanent link to this document
https://projecteuclid.org/euclid.aoap/1042765661

Digital Object Identifier
doi:10.1214/aoap/1042765661

Mathematical Reviews number (MathSciNet)
MR1951992

Zentralblatt MATH identifier
1022.60018

Subjects
Primary: 60E07: Infinitely divisible distributions; stable distributions 60G10: Stationary processes
Secondary: 60K30: Applications (congestion, allocation, storage, traffic, etc.) [See also 90Bxx]

Keywords
Ruin probability heavy tails supremum negative drift insurance risk speed of mixing

Citation

Embrechts, Paul; Samorodnitsky, Gennady. Ruin problem and how fast stochastic processes. Ann. Appl. Probab. 13 (2003), no. 1, 1--36. doi:10.1214/aoap/1042765661. https://projecteuclid.org/euclid.aoap/1042765661


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