Explicit ruin formulas for models with dependence among risks
Albrecher, Hansjoerg ; Constantinescu, Corina ; Loisel, Stéphane
HAL, hal-00540621 / Harvested from HAL
Text on HAL
We show that a simple mixing idea allows to establish a number of explicit formulas for ruin probabilities and related quantities in collective risk models with dependence among claim sizes and among claim inter-occurrence times. Examples include compound Poisson risk models with completely monotone marginal claim size distributions that are dependent according to Archimedean survival copulas as well as renewal risk models with dependent inter-occurrence times.
Publié le : 2011-07-05
Classification:  [SHS.ECO]Humanities and Social Sciences/Economies and finances,  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] 
@article{hal-00540621,
     author = {Albrecher, Hansjoerg and Constantinescu, Corina and Loisel, St\'ephane},
     title = {Explicit ruin formulas for models with dependence among risks},
     journal = {HAL},
     volume = {2011},
     number = {0},
     year = {2011},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00540621}
}

Albrecher, Hansjoerg; Constantinescu, Corina; Loisel, Stéphane. Explicit ruin formulas for models with dependence among risks. HAL, Tome 2011 (2011) no. 0, . http://gdmltest.u-ga.fr/item/hal-00540621/