PL EN


2013 | 133 | 7-19
Article title

Proces ryzyka z zależnymi okresami między wypłatami - analiza prawdopodobieństwa ruiny

Content
Title variants
EN
Risk Process with Dependent Interclaim Times - Analysis of Probability of Ruin
Languages of publication
PL
Abstracts
EN
The paper is devoted to the risk process with dependent interclaim times. The influence of degree of dependence of interclaims on the probability of ruin is investigated. The case of the strict dependence and the case when the dependence structure is described by the Archimedean copula is studied. The localization of the extreme values of the probability of ruin essentially depends on the value of initial capital. The most values of the probability of ruin are attain for the middle values of degree of dependence.
Keywords
Year
Volume
133
Pages
7-19
Physical description
Contributors
References
  • Frees E.W., Valdez E.A. (1998): Understanding Relationships using Copulas. "North Amer. Actuarial Journal", No. 2.
  • Heilpern S. (2007): Funkcje łączące. Wydawnictwo AE, Wrocław.
  • Heilpern S. (2010): Wyznaczanie prawdopodobieństwa ruiny, gdy struktura zależności wypłat opisana jest Archimedesowi funkcją łączącą. W: Zagadnienia Aktuarialne. Teoria i Praktyka. Red. W. Otto. Wydawnictwo Uniwersytetu Warszawskiego, Warszawa.
  • Kaas R., Goovaerts M., Dhaene J., Denuit M. (2001): Modern Actuarial Risk Theory. Kluwer, Boston.
  • Nelsen R.B. (1999): An Introduction to Copulas. Springer, New York.
  • Ostasiewicz W., red. (2000): Modele aktuarialne. Wydawnictwo AE, Wrocław.
  • Rolski T., Schmidli H., Schmidt V., Teugels J.L. (1999): Stochastic Processes for Insurance and Finance. Willey, New York.
Document Type
Publication order reference
Identifiers
ISSN
2083-8611
YADDA identifier
bwmeta1.element.desklight-2a25e98e-0aa6-492b-8783-023709c89f14
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