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  • Search: subject:"Multivariate finite-time ruin probabilities"
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Capital transfer 1 Multivariate finite-time ruin probabilities 1 Multivariate regular variation 1 Optimal allocation 1
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Biard, Romain 1
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Asymptotic multivariate finite-time ruin probabilities with heavy-tailed claim amounts: Impact of dependence and optimal reserve allocation
Biard, Romain - HAL - 2013
In ruin theory, the univariate model may be found too restrictive to describe accurately the complex evolution of the reserves of an insurance company. In the case where the company is composed of multiple lines of business, we compute asymptotics of finite-time ruin probabilities. Capital...
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