Explicit ruin formulas for models with dependence among risks
AbstractWe 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 48 (2011)
Issue (Month): 2 (March)
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Web page: http://www.elsevier.com/locate/inca/505554
Ruin probability Frailty models Mixing Archimedean copulas Completely monotone distributions;
Other versions of this item:
- Hansjoerg Albrecher & Corina Constantinescu & Stéphane Loisel, 2011. "Explicit ruin formulas for models with dependence among risks," Post-Print hal-00540621, HAL.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Albrecher, Hansjörg & Kortschak, Dominik, 2009. "On ruin probability and aggregate claim representations for Pareto claim size distributions," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 362-373, December.
- Alink, Stan & Lowe, Matthias & V. Wuthrich, Mario, 2004. "Diversification of aggregate dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 35(1), pages 77-95, August.
- Ramsay, Colin M., 2003. "A solution to the ruin problem for Pareto distributions," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 109-116, August.
- Landriault, David & Lemieux, Christiane & Willmot, Gordon E., 2012. "An adaptive premium policy with a Bayesian motivation in the classical risk model," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 370-378.
- Peggy Cénac & Stéphane Loisel & Véronique Maume-Deschamps & Clémentine Prieur, 2013. "Risk indicators with several lines of business: comparison, asymptotic behavior and applications to optimal reserve allocation," Working Papers hal-00816894, HAL.
- Stéphane Loisel & Julien Trufin, 2013. "Properties of a risk measure derived from the expected area in red," Working Papers hal-00870224, HAL.
- Stéphane Loisel & Hans-U. Gerber, 2012. "Why ruin theory should be of interest for insurance practitioners and risk managers nowadays," Post-Print hal-00746231, HAL.
- Marri, Fouad & Furman, Edward, 2012. "Pricing compound Poisson processes with the Farlie–Gumbel–Morgenstern dependence structure," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 151-157.
- Manel Kacem & Stéphane Loisel & Véronique Maume-Deschamps, 2012. "Some mixing properties of conditionally independent processes," Working Papers hal-00670649, HAL.
- Christophe Dutang & Claude Lefèvre & Stéphane Loisel, 2013. "On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing," Working Papers hal-00746251, HAL.
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