Heavy-tailed distribution in the presence of dependence in insurance and finance



Liu, Fei
Heavy-tailed distribution in the presence of dependence in insurance and finance. Master of Philosophy thesis, University of Liverpool.

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Abstract

In the past decade, the study of the renewal risk model in the presence of dependent insurance and financial risks and heavy-tailed claims is one of the key topics in modern risk theory. The purpose of this thesis is to study the renewal risk model with certain dependence structures. We also assume that claim sizes follow a heavy-tailed distribution, in particular, a subexponential distribution. We focus on studying the impact of heavy tails and dependence structures on ruin probabilities and the tail probabilities of aggregate claims. For the study of dependence structure, we consider two assumptions here, namely, dependence between claims and inter-arrival times and dependence between insurance and financial risks, particular attention are paid for the dependent insurance and financial risks. In this case, an equation for the tail probability of maximal present value of aggregate net loss is derived, and hence some insights into the ruin probability can be obtained.

Item Type: Thesis (Master of Philosophy)
Additional Information: Date: 2013-11 (completed)
Divisions: Faculty of Science and Engineering > School of Physical Sciences > Mathematical Sciences
Depositing User: Symplectic Admin
Date Deposited: 19 Feb 2014 09:54
Last Modified: 17 Dec 2022 01:41
DOI: 10.17638/00014419
Supervisors:
  • Chen, Yiqing
URI: https://livrepository.liverpool.ac.uk/id/eprint/14419