A survey of some recent results on Risk Theory

The goal of this paper is to give recent results in risk theory presented at the Conference "Journée MAS 2012" which took place in Clermont Ferrand. After a brief state of the art on ruin theory, we explore some particular aspects and recent results. One presents matrix exponential approximations of the ruin probability. Then we present asymptotics of the ruin probability based on mixing properties of the claims distribution. Finally, the multivariate case, motivated by reinsurance, is presented and some contemporary results (closed forms and asymptotics) are given.

Domaines

Applications [stat.AP] Calcul [stat.CO] Statistiques [math.ST] Finance quantitative [q-fin.CP]

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proc144420.pdf (598.44 Ko)

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https://hal.science/hal-01616178

Soumis le : vendredi 13 octobre 2017-11:41:45

Dernière modification le : mardi 30 avril 2024-13:53:58

Archivage à long terme le : dimanche 14 janvier 2018-13:20:23

Dates et versions

hal-01616178 , version 1 (13-10-2017)

Identifiants

HAL Id : hal-01616178 , version 1
DOI : 10.1051/proc/201444020

Citer

Florin Avram, Romain Biard, Christophe Dutang, Stéphane Loisel, Landy Rabehasaina. A survey of some recent results on Risk Theory. ESAIM: Proceedings, 2014, 44, pp.322 - 337. ⟨10.1051/proc/201444020⟩. ⟨hal-01616178⟩

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