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2011
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info:eu-repo/semantics/altIdentifier/doi/10.1016/j.insmatheco.2010.11.007
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info:eu-repo/semantics/altIdentifier/urn/urn:nbn:ch:serval-BIB_66D51061E4422
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Mots-clés
Ruin probability; Frailty models; Mixing; Archimedean copulas; Completely monotone distributionsSujets proches
Probability Statistical inference BlendingCiter ce document
H. Albrecher et al., « Explicit ruin formulas for models with dependence among risks », Serveur académique Lausannois, ID : 10.1016/j.insmatheco.2010.11.007
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Résumé
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.