15. ÖMG-Kongress
Jahrestagung der Deutschen Mathematikervereinigung

16. bis 22. September 2001 in Wien

Sektion 12 - Wahrscheinlichkeitstheorie, Statistik
Dienstag, 18. September 2001, 16.30, Hörsaal 7


Asymptotic ruin probability for dependent claims

Georg Pflug, Universität Wien


We consider a ruin problem, where the claim sizes and the claim times are dependent. Such problems arise in insurance for catastrophic events. The fundamental question is whether dependence (and what kind of dependency) decreases or increases the ruin probability.

We give an answer for the asymptotic ruin rate (the Lundberg coefficient) and show how different notions of dependency for claims have an influence on this rate. Most of the results are formulated in terms of convex order structures for dependency.

E-Mail: georg.pflug@univie.ac.at
Homepage: staff.smc.univie.ac.at/pflug

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