The Estimation of Ruin Quantities in Multivariate Model with Clayton Dependence Structure

摘要：

We consider the estimation of the ruin probability and the deficit at ruim in a linear p-ortfolio of insurance risk processes.We model the todal claim amount of two different bussiness activity by compound Poisson processes,We allow for dipendence of two components,which we model by a Clayton Lévy copula.Using a real data set,we compare the ruin probability and the deficit at ruin in the Clayton dependence model with the corrdspoing independent and linear dependent models.

关键词： ruin probability deficit at ruin insurance risk process Clayton Levy copula levy process

作者: Kanji Yoneyama Kuang-Yih Yeh Hao-Ching Hsia Hiroaki Ishii

作者单位: University of Hyogo 1-1-12,Shinzaike-honcho Hlmeji,Japan National Cheng Kung University No-1,University Road Tainan,Taiwan National Cheng Kung Uninversity No.1,University Road Tainan,Taiwan Kwansei Gakuin University 2-1,Gakuen Sanda,Japan

会议类型: 国际会议

会议名称: 第五届排队论及网络应用国际研讨会

会议地点: 北京

会议语种:英文

页码: 224-227

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）