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
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;
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
DOI :
10.1109/CDEE.2010.23
