Explicit ruin formulas for models with dependence among risks
We show that a simple mixing idea allows one 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.
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.
[PDF][PDF] Explicit ruin formulas for models with dependence among risks
H örg Albrecher, C Constantinescu, S Loisel - actuaries.org
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.
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.