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Archimedean copulas in finite and infinite dimensions—with application to ruin problems

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  • Constantinescu, Corina
  • Hashorva, Enkelejd
  • Ji, Lanpeng
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    Abstract

    In this paper we discuss the link between Archimedean copulas and L1 Dirichlet distributions for both finite and infinite dimensions. With motivation from the recent papers Weng et al. (2009) and Albrecher et al. (2011) we apply our results to certain ruin problems.

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    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 49 (2011)
    Issue (Month): 3 ()
    Pages: 487-495

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    Handle: RePEc:eee:insuma:v:49:y:2011:i:3:p:487-495

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    Web page: http://www.elsevier.com/locate/inca/505554

    Related research

    Keywords: Dirichlet distribution; Archimedean copula; Ruin probability; Perturbed risk model; Random scaling; Mixing; k-monotone functions; Completely monotone functions; Max-domain of attraction; Gumbel distribution; Davis–Resnick tail property; Weibull distribution;

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    Cited by:
    1. Dutang, C. & Lefèvre, C. & Loisel, S., 2013. "On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 53(3), pages 774-785.
    2. Hashorva, Enkelejd & Kortschak, Dominik, 2014. "Tail asymptotics of random sum and maximum of log-normal risks," Statistics & Probability Letters, Elsevier, Elsevier, vol. 87(C), pages 167-174.
    3. Enkelejd Hashorva & Lanpeng Ji, 2014. "Random Shifting and Scaling of Insurance Risks," Risks, MDPI, Open Access Journal, MDPI, Open Access Journal, vol. 2(3), pages 277-288, July.
    4. Marri, Fouad & Furman, Edward, 2012. "Pricing compound Poisson processes with the Farlie–Gumbel–Morgenstern dependence structure," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 51(1), pages 151-157.
    5. Christophe Dutang & Claude Lefèvre & Stéphane Loisel, 2013. "On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing," Post-Print, HAL hal-00746251, HAL.

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