2018/05/31 by Anita Behme, Claudia Klüppelberg, Behme, Anita +3
Decision Sciences · Mathematics · Social Sciences · #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Probability and Risk Models #Statistical Methods and Inference
paper · pdf · doi:10.48550/arxiv.1805.12459
openalex publication_date 2018/05/31 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
This paper studies risk balancing features in an insurance market by evaluating ruin probabilities for single and multiple components of a multivariate compound Poisson risk process. The dependence of the components of the process is induced by a random bipartite network. In analogy with the non-network scenario, a network ruin parameter is introduced. This random parameter, which depends on the bipartite network, is crucial for the ruin probabilities. Under certain conditions on the network and for light-tailed claim size distributions we obtain Lundberg bounds and, for exponential claim size distributions, exact results for the ruin probabilities. For large sparse networks, the network ruin parameter is approximated by a function of independent Poisson variables. T