Explicit ruin formulas for models with dependence among risks

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Serval ID
serval:BIB_66D51061E442
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Explicit ruin formulas for models with dependence among risks
Journal
Insurance: Mathematics & Economics
Author(s)
Albrecher H., Constantinescu C., Loisel S.
ISSN
0167-6687
Publication state
Published
Issued date
2011
Peer-reviewed
Oui
Volume
48
Number
2
Pages
265-270
Language
english
Abstract
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.
Keywords
Ruin probability, Frailty models, Mixing, Archimedean copulas, Completely monotone distributions
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Create date
20/11/2010 14:28
Last modification date
20/08/2019 15:22
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