Article: article from journal or magazin.
Archimedean copulas in finite and infinite dimensions - with application to ruin problems
Insurance: Mathematics & Economics
In this paper we discuss the link between Archimedean copulas and L(1) Dirichlet distributions for both finite and infinite dimensions. With motivation from the recent papers Weng et al. (2009) and Albrecher et al. (2011) we apply our results to certain ruin problems.
Dirichlet distribution, Archimedean copula, Ruin probability, Perturbed risk model, Random scaling, Mixing, k-monotone functions, Completely monotone functions, Max-domain of attraction, Gumbel distribution, Davis-Resnick tail property, Weibull distribution
Web of science
Last modification date