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Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed

par Biard, Romain;Lefèvre, Claude ;Loisel, Stéphane
Référence Insurance. Mathematics & economics, 43, 3, page (412-421)
Publication Publié, 2008-12

Article révisé par les pairs

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Résumé :

In the renewal risk model, several strong hypotheses may be found too restrictive to model accurately the complex evolution of the reserves of an insurance company. In the case where claim sizes are heavy-tailed, we relax the independence and stationarity assumptions and extend some asymptotic results on finite-time ruin probabilities, to take into account possible correlation crises like the one recently bred by the sub-prime crisis: claim amounts, in general assumed to be independent, may suddenly become strongly positively dependent. The impact of dependence and non-stationarity is analyzed and several concrete examples are given. © 2008 Elsevier B.V. All rights reserved.