On an asymptotic rule \(A+B/u\) for ultimate ruin probabilities under dependence by mixing

DOI10.1016/J.INSMATHECO.2013.09.020zbMath1290.91084OpenAlexW1990556446MaRDI QIDQ2015646

Stéphane Loisel, Claude Lefèvre, Christophe Dutang

Publication date: 23 June 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.09.020

zbMATH Keywords

asymptoticsArchimedean copulasultimate ruin probabilitytail distributionmixing modeldiscrete and continuous time

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (7)

A survey of some recent results on Risk Theory ⋮ Computing finite time non-ruin probability and some joint distributions in discrete time risk model with exchangeable claim occurrences ⋮ The joint distribution of the sum and maximum of dependent Pareto risks ⋮ The single server queue with mixing dependencies ⋮ Probability of ruin in discrete insurance risk model with dependent Pareto claims ⋮ Stochastic comparison of multivariate conditionally dependent mixtures ⋮ On the risk of credibility premium rules

Uses Software

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• MPFR
• DLMF

Cites Work

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