Explicit ruin formulas for models with dependence among risks

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

zbMATH Keywords

mixing ruin probability frailty models Archimedean copulas completely monotone distributions

Mathematics Subject Classification ID

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

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