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Article: Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks
Title | Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks |
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Authors | |
Keywords | Heavy-tailed increments Hitting rare set Lyapunov inequality Multivariate regularly variation |
Issue Date | 2014 |
Publisher | Elsevier. The Journal's web site is located at http://www.elsevier.com/locate/ime |
Citation | Insurance: Mathematics and Economics, 2014, v. 55, p. 1-9 How to Cite? |
Abstract | In this paper we consider a multidimensional renewal risk model with regularly varying claims. This model may be used to describe the surplus of an insurance company possessing several lines of business where a large claim possibly puts multiple lines in a risky condition. Conditional on the occurrence of ruin, we develop asymptotic approximations for the average accumulated number of claims leading the process to a rare set, and the expected total amount of shortfalls to this set in finite and infinite horizons. Furthermore, for the continuous time case, asymptotic results regarding the total occupation time of the process in a rare set and time-integrated amount of shortfalls to a rare set are obtained. |
Persistent Identifier | http://hdl.handle.net/10722/200913 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Liu, J | en_US |
dc.contributor.author | Woo, JK | en_US |
dc.date.accessioned | 2014-08-21T07:07:08Z | - |
dc.date.available | 2014-08-21T07:07:08Z | - |
dc.date.issued | 2014 | en_US |
dc.identifier.citation | Insurance: Mathematics and Economics, 2014, v. 55, p. 1-9 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/200913 | - |
dc.description.abstract | In this paper we consider a multidimensional renewal risk model with regularly varying claims. This model may be used to describe the surplus of an insurance company possessing several lines of business where a large claim possibly puts multiple lines in a risky condition. Conditional on the occurrence of ruin, we develop asymptotic approximations for the average accumulated number of claims leading the process to a rare set, and the expected total amount of shortfalls to this set in finite and infinite horizons. Furthermore, for the continuous time case, asymptotic results regarding the total occupation time of the process in a rare set and time-integrated amount of shortfalls to a rare set are obtained. | en_US |
dc.language | eng | en_US |
dc.publisher | Elsevier. The Journal's web site is located at http://www.elsevier.com/locate/ime | en_US |
dc.relation.ispartof | Insurance: Mathematics and Economics | en_US |
dc.rights | NOTICE: this is the author’s version of a work that was accepted for publication in Insurance: Mathematics and Economics. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Insurance: Mathematics and Economics, 2014, v. 55, p. 1-9. DOI: 10.1016/j.insmatheco.2013.11.010 | en_US |
dc.rights | This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License. | - |
dc.subject | Heavy-tailed increments | - |
dc.subject | Hitting rare set | - |
dc.subject | Lyapunov inequality | - |
dc.subject | Multivariate regularly variation | - |
dc.title | Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks | en_US |
dc.type | Article | en_US |
dc.identifier.email | Woo, JK: jkwoo@hku.hk | en_US |
dc.identifier.authority | Woo, JK=rp01623 | en_US |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1016/j.insmatheco.2013.11.010 | en_US |
dc.identifier.scopus | eid_2-s2.0-84890255796 | - |
dc.identifier.hkuros | 232045 | en_US |
dc.identifier.volume | 55 | en_US |
dc.identifier.spage | 1 | en_US |
dc.identifier.epage | 9 | en_US |
dc.identifier.isi | WOS:000335432100001 | - |