Archimedean copulas in finite and infinite dimensions -- with application to ruin problems

DOI10.1016/j.insmatheco.2011.08.006zbMath1284.62339OpenAlexW1977915064MaRDI QIDQ654826

Corina Constantinescu, Enkelejd Hashorva, Lanpeng Ji

Publication date: 21 December 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.08.006

zbMATH Keywords

mixingruin probabilityWeibull distributionperturbed risk modelGumbel distributionDirichlet distributionArchimedean copularandom scalingDavis-Resnick tail propertycompletely monotone functionsmax-domain of attraction\(k\)-monotone functions

Mathematics Subject Classification ID

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

Related Items

Computing finite time non-ruin probability and some joint distributions in discrete time risk model with exchangeable claim occurrences ⋮ Multiple risk factor dependence structures: copulas and related properties ⋮ The joint distribution of the sum and maximum of dependent Pareto risks ⋮ Tail asymptotic of Weibull-type risks ⋮ The single server queue with mixing dependencies ⋮ Probability of ruin in discrete insurance risk model with dependent Pareto claims ⋮ How exceptional is the extremal Kendall and Kendall-type convolution ⋮ Ruin problems for risk processes with dependent phase-type claims ⋮ Abel-Gontcharoff polynomials, parking trajectories and ruin probabilities ⋮ Extremes and products of multivariate AC-product risks ⋮ Pricing compound Poisson processes with the Farlie-Gumbel-Morgenstern dependence structure ⋮ Tail asymptotics of random sum and maximum of log-normal risks ⋮ Discrete Schur-constant models ⋮ Schur-constant and related dependence models, with application to ruin probabilities ⋮ Partially Schur-constant models ⋮ On an asymptotic rule \(A+B/u\) for ultimate ruin probabilities under dependence by mixing ⋮ On s-convex bounds for Beta-unimodal distributions with applications to basis risk assessment ⋮ On Multiply Monotone Distributions, Continuous or Discrete, with Applications ⋮ Some mixing properties of conditionally independent processes ⋮ Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the ruin probability in a dependent discrete time risk model with insurance and financial risks
• Asymptotics for risk capital allocations based on conditional tail expectation
• An algebraic operator approach to the analysis of Gerber-Shiu functions
• Asymptotics of random contractions
• Scale mixtures of Kotz-Dirichlet distributions
• Risk theory for the compound Poisson process that is perturbed by diffusion
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Lower tail dependence for Archimedean copulas: characterizations and pitfalls
• Non-life insurance mathematics. An introduction with the Poisson process
• A generalized penalty function in the Sparre Andersen risk model with two-sided jumps
• From Archimedean to Liouville copulas
• Tail asymptotics under beta random scaling
• Inverse problems for regular variation of linear filters, a cancellation property for \(\sigma\)-finite measures and identification of stable laws
• Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
• Tails of multivariate Archimedean copulas
• Some families of multivariate symmetric distributions related to exponential distribution
• Ruin probabilities in perturbed risk models
• The normal distribution. Characterizations with applications
• From light tails to heavy tails through multiplier
• Explicit ruin formulas for models with dependence among risks
• The subexponentiality of products revisited
• Extreme value theory for space-time processes with heavy-tailed distributions
• Convergence of Archimedean copulas
• On the regular variation of elliptical random vectors
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• Metric spaces and completely monontone functions
• Ruin probabilities in a discrete time risk model with dependent risks of heavy tail
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments