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Article: Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks

TitleAsymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks
Authors
Issue Date2014
PublisherElsevier. 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?
AbstractIn 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 Identifierhttp://hdl.handle.net/10722/200913
ISI Accession Number ID

 

DC FieldValueLanguage
dc.contributor.authorLiu, Jen_US
dc.contributor.authorWoo, JKen_US
dc.date.accessioned2014-08-21T07:07:08Z-
dc.date.available2014-08-21T07:07:08Z-
dc.date.issued2014en_US
dc.identifier.citationInsurance: Mathematics and Economics, 2014, v. 55, p. 1-9en_US
dc.identifier.urihttp://hdl.handle.net/10722/200913-
dc.description.abstractIn 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.languageengen_US
dc.publisherElsevier. The Journal's web site is located at http://www.elsevier.com/locate/imeen_US
dc.relation.ispartofInsurance: Mathematics and Economicsen_US
dc.rightsNOTICE: 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.2013.11.010en_US
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.titleAsymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walksen_US
dc.typeArticleen_US
dc.identifier.emailWoo, JK: jkwoo@hku.hken_US
dc.identifier.authorityWoo, JK=rp01623en_US
dc.description.naturepostprint-
dc.identifier.doi10.1016/j.insmatheco.2013.11.010en_US
dc.identifier.hkuros232045en_US
dc.identifier.volume55en_US
dc.identifier.spage1en_US
dc.identifier.epage9en_US
dc.identifier.isiWOS:000335432100001-

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