Ruin theory in the presence of dependent claims

Hansjoerg Albrecher
University of  Graz
Austria

Abstract



 
 
 

In ruin theory, the classical stochastic model to describe the surplus process of an insurance portfolio over time is based on the assumption of independence of claim sizes and claim arrival times. However, it has been recognized that such an independence assumption is often too restrictive for practical applications. We will give an overview of recent results on the probability of ruin in generalized models that allow for dependency and we will study the sensitivity of the ruin function on suitable dependence parameters.