Asymptotic Finite-Time Ruin Probability for Multivariate Heavy-Tailed Claims
WU JinTang\LI XiaoHu
School of Mathematical Sciences, Huaqiao University, Quanzhou, 362021, China\Department of Mathematical Sciences, Stevens Institute of Technology, Hoboken, NJ 07030, USA
This note deals with an insurance company with multiple lines of business. In the context of heavy-tailed heterogeneous claim amounts with the 1st upper-orthant tail dependence, based on the so-called k-out-of-n ruin set, we can exhibit the Radon measure mu and derive the asymptotic ruin probability for some of all lines business to ruin in a finite time. One numerical example is also presented to illustrate our main results.
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WU JinTang\LI XiaoHu. Asymptotic Finite-Time Ruin Probability for Multivariate Heavy-Tailed Claims. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2018, 34(1): 21-36.