Multivariate Subexponential Distributions and Their Applications
Gennady Samorodnitsky, Julian Sun
TL;DR
This paper introduces a new definition of multivariate subexponential distributions, compares it with existing notions, and analyzes the asymptotic ruin probability in insurance portfolios under this new framework.
Contribution
It proposes a novel definition of multivariate subexponentiality and extends ruin probability analysis beyond regularly varying claims.
Findings
New multivariate subexponential definition established
Asymptotic ruin probabilities computed under the new framework
Results extend previous work limited to regularly varying claims
Abstract
We propose a new definition of a multivariate subexponential distribution. We compare this definition with the two existing notions of multivariate subexponentiality, and compute the asymptotic behaviour of the ruin probability in the context of an insurance portfolio, when multivariate subexponentiality holds. Previously such results were available only in the case of multivariate regularly varying claims.
Peer Reviews
No public reviews on file for this paper yet. If you reviewed it on a platform where reviews are public (OpenReview, ICLR, NeurIPS, ICML), you can paste yours below so the community can read it here.
Videos
No videos yet. Explain this paper in a talk, walkthrough, or lecture? Add one.
Taxonomy
TopicsProbability and Risk Models · Financial Risk and Volatility Modeling · Statistical Distribution Estimation and Applications