Exponential Behavior in the Presence of Dependence in Risk Theory

DOI10.1239/jap/1143936258zbMath1097.62110OpenAlexW2040707473MaRDI QIDQ5489004

Jozef L. Teugels, Hansjoerg Albrecher

Publication date: 25 September 2006

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1143936258

zbMATH Keywords

copulasrisk modelWiener-Hopf theory

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Sums of independent random variables; random walks (60G50) Renewal theory (60K05)

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Cites Work

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• An introduction to copulas. Properties and applications
• The Poisson integral representation of functions which are positive and harmonic in a half-plane
• Some asymptotic results for transient random walks with applications to insurance risk
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes and the GI/G/1 queue
• The exponential rate of convergence of the distribution of the maximum of a random walk
• The exponential rate of convergence of the distribution of the maximum of a random walk. Part II

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