ASYMPTOTIC ESTIMATION OF RUIN PROBABILITY IN THE PRESENCES OF DEPENDENCE
Keywords:
Ruin Probability,Asymptotic Estimation, Dependent Risk Models, Heavy-Tailed Distributions,Copula Theory, Extreme Value Theory,Stochastic Processes, Cox–Ingersoll–Ross (CIR) Model, Markov-Dependent Claims,Insurance Risk Theory,Large Deviations Principle,Financial MathematicsAbstract
This article examines the asymptotic behavior of ruin probabilities in insurance risk models where claim sizes and premium income exhibit dependence. Traditional models often assume independence between claims, but real-world scenarios suggest otherwise, necessitating the use of advanced mathematical tools such as copula theory and extreme value theory.
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References
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Bazyari, A., & Bazyari, M. (2023). "Ruin Probabilities for Two Risk Models with Asymptotically Independent and Dependent Classes." Journal of the Iranian Statistical Society, 22(1), 1–20.
