Explicit ruin formulas for models with dependence among risks
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Publication:2276228
DOI10.1016/j.insmatheco.2010.11.007zbMath1218.91065OpenAlexW2110498902MaRDI QIDQ2276228
Corina Constantinescu, Stéphane Loisel, Hansjoerg Albrecher
Publication date: 1 August 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.11.007
Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20)
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Cites Work
- On ruin probability and aggregate claim representations for Pareto claim size distributions
- An introduction to copulas. Properties and applications
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- Diversification of aggregate dependent risks
- Bivariate Survival Models Induced by Frailties
- General jump process and time change — or, how to define stochastic operational time
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