Stephane Loisel (Université Claude Bernard Lyon 1)

“Ruin probability for some particular correlated claims, for worsening risks, and risks with infinite mean.”

Abstract

We first give explicit formulas for the infinite time ruin probability for some particular correlated claim amounts or inter-arrival times. We then investigate asymptotics of ruin probabilities when claim distribution is worsening over time, due to phenomena like sectorial inflation or global warming. We end up with some results in the case where claim amounts have infinite mean.