On an asymptotic rule \(A+B/u\) for ultimate ruin probabilities under dependence by mixing
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Publication:2015646
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
asymptoticsArchimedean copulasultimate ruin probabilitytail distributionmixing modeldiscrete and continuous time
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
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Cites Work
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