Explicit ruin formulas for models with dependence among risks

DOI10.1016/J.INSMATHECO.2010.11.007zbMATH Open1218.91065OpenAlexW2110498902MaRDI QIDQ2276228FDOQ2276228

Authors: Corina Constantinescu, Stéphane Loisel, Hansjörg 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

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zbMATH Keywords

Archimedean copulas mixing ruin probability frailty models completely monotone distributions

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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