Ruin problem and how fast stochastic processes mix
成果类型：
Article
署名作者：
Embrechts, P; Samorodnitsky, G
署名单位：
Swiss Federal Institutes of Technology Domain; ETH Zurich; Cornell University
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
发表日期：
2003
页码：
1-36
关键词：
摘要：
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.