Ruin estimation in multivariate models with Clayton dependence structure
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Cites work
- Cramér's estimate for Lévy processes
- Estimates for the probability of ruin with special emphasis on the possibility of large claims
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- Ruin probabilities and overshoots for general Lévy insurance risk processes
Cited in
(16)- The first passage event for sums of dependent Lévy processes with applications to insurance risk
- A \(2\times 2\) random switching model and its dual risk model
- Bayesian optimal investment and reinsurance with dependent financial and insurance risks
- Optimal control and dependence modeling of insurance portfolios with Lévy dynamics
- Construction and sampling of Archimedean and nested Archimedean Lévy copulas
- Dependence properties and bounds for ruin probabilities in multivariate compound risk models
- Dependence properties and comparison results for Lévy processes
- Pareto Lévy measures and multivariate regular variation
- Lévy copulas: review of recent results
- Multivariate models for operational risk
- Risk in a large claims insurance market with bipartite graph structure
- Ruin probabilities for risk processes in a bipartite network
- The Pareto Copula, Aggregation of Risks, and the Emperor's Socks
- Applying copula models to individual claim loss reserving methods
- Parameter estimation of a bivariate compound Poisson process
- The Schur concavity, Schur multiplicative and harmonic convexities of the second dual form of the Hamy symmetric function with applications
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