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

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

• gmp
• R
• SageMath
• MPFR
• DLMF

Cites Work

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