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January 2003 Ruin problem and how fast stochastic processes
Paul Embrechts, Gennady Samorodnitsky
Ann. Appl. Probab. 13(1): 1-36 (January 2003). DOI: 10.1214/aoap/1042765661


The recent increasing interplay between actuarial and financial mathematics has led to a surge in risk theoretic modeling. Especially actuarial ruin models under fairly general conditions on the underlying risk process have become a focus of attention. Motivated by applications such as the modeling of operational risk losses in financial risk management, we investigate the stability of classical asymptotic ruin estimates when claims are heavy, and this under variability of the claim intensity process. Various examples are discussed.


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Paul Embrechts. Gennady Samorodnitsky. "Ruin problem and how fast stochastic processes." Ann. Appl. Probab. 13 (1) 1 - 36, January 2003.


Published: January 2003
First available in Project Euclid: 16 January 2003

zbMATH: 1022.60018
MathSciNet: MR1951992
Digital Object Identifier: 10.1214/aoap/1042765661

Primary: 60E07 , 60G10
Secondary: 60K30

Keywords: heavy tails , insurance risk , negative drift , ruin probability , speed of mixing , supremum

Rights: Copyright © 2003 Institute of Mathematical Statistics


Vol.13 • No. 1 • January 2003
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