Risk, Ruin and Survival: Decision Making in Insurance and Finance

• Main Author: Ren, Jiandong (auth)
• Other Authors: Sendova, Kristina (auth), Zitikis, Ricardas (auth)
• Format: Electronic Book Chapter
• Language: English
• Published: MDPI - Multidisciplinary Digital Publishing Institute 2020
• Subjects: insurance; n/a; multiplicative background risk model; renewal process; dual risk model; collective risk model; risk measure; aggregate risk; Laplace transform; transfer function; risk management; risk theory; maximal tail dependence; constant interest rate; partial integro-differential equation; reinsurance; financial time series; spatial risk measures and corresponding axiomatic approach; central limit theorem; integral equation; Markovian arrival process; systematic risk; information processing; discounted aggregate claims; surplus process; weighted cuts; rate of spatial diversification; national culture; operational risk; covariance; cumulative Parisian ruin; spatial dependence; background risk; survival analysis; Monte Carlo; aggregate discounted claims; stochastic orders; order statistic; max-stable random fields; copulas; hazard model; multivariate gamma distribution; copula; advanced measurement approach; concomitant; archimedean copulas; rating migrations; ruin probability; clustering; confidence interval; individual risk model; numerical approximation; value-at-risk
• Online Access: DOAB: download the publication; DOAB: description of the publication

Developing techniques for assessing various risks and calculating probabilities of ruin and survival are exciting topics for mathematically-inclined academics. For practicing actuaries and financial engineers, the resulting insights have provided enormous opportunities but also created serious chall...