Explicit ruin formulas for models with dependence among risks

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Etat: Public
Version: de l'auteur⸱e
ID Serval
serval:BIB_66D51061E442
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Explicit ruin formulas for models with dependence among risks
Périodique
Insurance: Mathematics & Economics
Auteur⸱e⸱s
Albrecher H., Constantinescu C., Loisel S.
ISSN
0167-6687
Statut éditorial
Publié
Date de publication
2011
Peer-reviewed
Oui
Volume
48
Numéro
2
Pages
265-270
Langue
anglais
Résumé
We show that a simple mixing idea allows one to establish a number of explicit formulas for ruin probabilities and related quantities in collective risk models with dependence among claim sizes and among claim inter-occurrence times. Examples include compound Poisson risk models with completely monotone marginal claim size distributions that are dependent according to Archimedean survival copulas as well as renewal risk models with dependent inter-occurrence times.
Mots-clé
Ruin probability, Frailty models, Mixing, Archimedean copulas, Completely monotone distributions
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Création de la notice
20/11/2010 13:28
Dernière modification de la notice
20/08/2019 14:22
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