DocumentCode
3026501
Title
On the Ruin Probability for a Dependent Risk Model under the Heavy-Tailed
Author
Yongmao, Wang ; Hanwu, Shi ; Suhong, Liu ; Fei, Wu
Author_Institution
Coll. of Math., Yanshan Univ., Qinhuangdao, China
fYear
2010
fDate
23-24 Oct. 2010
Firstpage
67
Lastpage
70
Abstract
This paper introduced the insurance company light and heavy tail of debt risk model, with assumption is negatively associated relationship. Basing on the nature of and negatively associated sequences, this paper transform different types of dependency risk models to only one type, and derived the ruin probability of the model.
Keywords
insurance; probability; risk management; debt risk model; dependent risk model; heavy tail; insurance company; light tail; negatively associated sequences; ruin probability; Companies; Compounds; Distribution functions; Insurance; Mathematical model; Random variables; Negatively associated; heavy-tailed distribution; ruin probability;
fLanguage
English
Publisher
ieee
Conference_Titel
Cryptography and Network Security, Data Mining and Knowledge Discovery, E-Commerce & Its Applications and Embedded Systems (CDEE), 2010 First ACIS International Symposium on
Conference_Location
Qinhuangdao
Print_ISBN
978-1-4244-9595-5
Type
conf
DOI
10.1109/CDEE.2010.23
Filename
5759369
Link To Document