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Exponential Behavior in the Presence of Dependence in Risk Theory

  • Hansjörg Albrecher (a1) and Jef L. Teugels (a2)
Abstract

We consider an insurance portfolio situation in which there is possible dependence between the waiting time for a claim and its actual size. By employing the underlying random walk structure we obtain explicit exponential estimates for infinite- and finite-time ruin probabilities in the case of light-tailed claim sizes. The results are illustrated in several examples, worked out for specific dependence structures.

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Copyright
Corresponding author
Postal address: Department of Mathematics, Graz University of Technology, Steyrergasse 30, Graz, 8010, Austria. Email address: albrecher@tugraz.at
∗∗ Postal address: Department of Mathematics, Katholieke Universiteit Leuven, de Croylaan 54, Heverlee, 3001, Belgium.
References
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Journal of Applied Probability
  • ISSN: 0021-9002
  • EISSN: 1475-6072
  • URL: /core/journals/journal-of-applied-probability
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