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- W1551763178 abstract "Classical risk process models in insurance rely on independency. However, especially when modeling natural events, this assumption is very restrictive. This paper proposes a new approach to introducing dependency structures between events into the model and investigates its effects on a crucial parameter for insurance companies, the probability of ruin. Explicit formulas, numerical simulations and sensitivity results for dependence are established for different dependency models of first-order markovian type indicating that for various scenarios dependency considerably increases the probability of ruin." @default.
- W1551763178 created "2016-06-24" @default.
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- W1551763178 date "1998-09-01" @default.
- W1551763178 modified "2023-09-27" @default.
- W1551763178 title "Dependent Risks and Ruin Probabilities in Insurance" @default.
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