On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing
DOI10.1016/J.INSMATHECO.2013.09.020zbMATH Open1290.91084OpenAlexW1990556446MaRDI QIDQ2015646FDOQ2015646
Claude Lefèvre, Stéphane Loisel, 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
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asymptoticsArchimedean copulastail distributionultimate ruin probabilitymixing modeldiscrete and continuous time
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Cited In (7)
- A survey of some recent results on Risk Theory
- On the risk of credibility premium rules
- The joint distribution of the sum and maximum of dependent Pareto risks
- Computing finite time non-ruin probability and some joint distributions in discrete time risk model with exchangeable claim occurrences
- Stochastic comparison of multivariate conditionally dependent mixtures
- The single server queue with mixing dependencies
- Probability of ruin in discrete insurance risk model with dependent Pareto claims
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