Aarhus University Seal / Aarhus Universitets segl

Dependence and extreme events in ruin probability: Univariate and multivariate study, optimal allocation problems

Romain Biard
(Université Lyon 1)
Thiele Seminar
Thursday, 4 November, 2010, at 13:15-14:00, in Koll. D (1531-211)
This presentation deals with new models and new results in ruin theory, in the case where claim amounts are heavy-tailed distributed. Classical assumptions like independence and stationarity and univariate analysis are sometimes too restrictive to describe the complex evolution of the reserves of an insurance company. In a dependence context, asymptotics of univariate finite-time ruin probability are computed. This dependence, and the other model parameters are modulated by a Markovian environment process to take into account possible correlation crisis. Then, we introduce some models which describe dependence between claim amounts and claim interarrival times we can find in earthquake or flooding risks. In multivariate framework, we present some risk criteria like multivariate ruin probability or the expectation of the time integrated negative part of the risk process. We solve some problems of optimal allocation for these risk measures. Then, we study the impact of the risk dangerousness and of the dependence between lines on this optimal allocation.
Organised by: The T.N. Thiele Centre
Contact person: Søren Asmussen