Archimedean copulas in finite and infinite dimensions -- with application to ruin problems
From MaRDI portal
Publication:654826
DOI10.1016/J.INSMATHECO.2011.08.006zbMATH Open1284.62339OpenAlexW1977915064MaRDI QIDQ654826FDOQ654826
Authors: 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
Recommendations
- scientific article; zbMATH DE number 1894337
- Dependence and order in families of Archimedean copulas
- Extremal behavior of Archimedean copulas
- Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
- Schur-constant and related dependence models, with application to ruin probabilities
Dirichlet distributionWeibull distributionmixingArchimedean copularuin probabilityrandom scalingGumbel distributionperturbed risk modelDavis-Resnick tail propertycompletely monotone functionsmax-domain of attraction\(k\)-monotone functions
Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Statistical Inference Procedures for Bivariate Archimedean Copulas
- Title not available (Why is that?)
- Tails of multivariate Archimedean copulas
- Title not available (Why is that?)
- From Archimedean to Liouville copulas
- Tail asymptotics under beta random scaling
- Metric spaces and completely monontone functions
- The normal distribution. Characterizations with applications
- Title not available (Why is that?)
- Asymptotics for risk capital allocations based on conditional tail expectation
- Risk theory for the compound Poisson process that is perturbed by diffusion
- Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
- Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
- Extreme value theory for space-time processes with heavy-tailed distributions
- Ruin probabilities in perturbed risk models
- Title not available (Why is that?)
- Explicit ruin formulas for models with dependence among risks
- Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
- Non-life insurance mathematics. An introduction with the Poisson process
- Ruin probabilities in a discrete time risk model with dependent risks of heavy tail
- On the regular variation of elliptical random vectors
- An algebraic operator approach to the analysis of Gerber-Shiu functions
- Lower tail dependence for Archimedean copulas: characterizations and pitfalls
- The subexponentiality of products revisited
- Scale mixtures of Kotz-Dirichlet distributions
- From light tails to heavy tails through multiplier
- On the ruin probability in a dependent discrete time risk model with insurance and financial risks
- Convergence of Archimedean copulas
- Inverse problems for regular variation of linear filters, a cancellation property for \(\sigma\)-finite measures and identification of stable laws
- Asymptotics of random contractions
- Some families of multivariate symmetric distributions related to exponential distribution
- A generalized penalty function in the Sparre Andersen risk model with two-sided jumps
Cited In (24)
- 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
- Tail asymptotics of random sum and maximum of log-normal risks
- Some mixing properties of conditionally independent processes
- Abel-Gontcharoff polynomials, parking trajectories and ruin probabilities
- Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process
- Partially Schur-constant models
- Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas
- The joint distribution of the sum and maximum of dependent Pareto risks
- Ruin problems for risk processes with dependent phase-type claims
- Pricing compound Poisson processes with the Farlie-Gumbel-Morgenstern dependence structure
- How exceptional is the extremal Kendall and Kendall-type convolution
- A note on allocation of portfolio shares of random assets with Archimedean copula
- Discrete Schur-constant models
- Computing finite time non-ruin probability and some joint distributions in discrete time risk model with exchangeable claim occurrences
- Title not available (Why is that?)
- Schur-constant and related dependence models, with application to ruin probabilities
- On multiply monotone distributions, continuous or discrete, with applications
- The single server queue with mixing dependencies
- Extremes and products of multivariate AC-product risks
- Multiple risk factor dependence structures: copulas and related properties
- Tail asymptotic of Weibull-type risks
- Archimedean copulas, exchangeability, and max-stability
- Probability of ruin in discrete insurance risk model with dependent Pareto claims
This page was built for publication: Archimedean copulas in finite and infinite dimensions -- with application to ruin problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q654826)
