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Ruin Probability under Dependence Assumption

Author: CaiPing
Tutor: ChenPingYan
School: Jinan University
Course: Probability Theory and Mathematical Statistics
Keywords: Probability of ruin Heavy-tailed distribution Precise large deviations ND
CLC: F840
Type: Master's thesis
Year: 2008
Downloads: 73
Quote: 1
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Abstract


This paper studies the heavy-tailed claim amount is a the ND case of bankruptcy probability , it is closely related to the finance and insurance . Because many of the problems in the financial risk models are considered in the heavy-tailed occasions , and we study some properties of the ND case . Large deviation theory is an important subject to the application of probability theory , it is very useful for quantitatively characterize extreme events . Classical large deviation theory is the earliest by Cramér and others to establish its main assumption is that the so-called distribution function of the random variable light tail (ie, the moment generating function is limited ) . A large deviation logical because the heavy-tailed distribution of importance in the field of finance and insurance , and many of the problems in the field can be attributed to the large deviations ( typical reinsurance issues ) , so study the sequence part of the heavy-tailed random variables and random and to focus on topics of applied probability scientists second Cramér-Lundberg ND case of large deviations and limited bankruptcy probability limit properties . Since the 1960s , the heavy-tailed distribution in branching processes , queuing theory , risk theory , including a wide range of applications in areas such as finance and insurance . Study of the early finance and insurance , the total object regarded as independent and identically distributed random variables while , in reality , they are often existence of a relationship , not necessarily independent . This is still a heavy-tailed distribution as the main object , ND random variables and the asymptotic behavior of the tail probability results to improve the corresponding results of the Embrechts-Veraverbeke [1] .

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CLC: > Economic > Fiscal, monetary > Insurance > Insurance Theory
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