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| HAL : hal-00540621, version 1 |
| Fiche détaillée |  Récupérer au format |
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| Explicit ruin formulas for models with dependence among risks |
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| Hansjoerg Albrecher 1Corina Constantinescu 1, 2 |
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| (24/11/2010) |
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| 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. |
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| 1 : | Université de Lausanne (UNIL) |
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Université de Lausanne |
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| 2 : | Laboratoire de Sciences Actuarielle et Financière (SAF) |
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Université Claude Bernard - Lyon I : EA2429 |
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| Domaine | : | Sciences de l'Homme et Société/Economies et finances Mathématiques/Probabilités |
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| Liste des fichiers attachés à ce document : | |||||
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| hal-00540621, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00540621 | |
| oai:hal.archives-ouvertes.fr:hal-00540621 | |
| Contributeur : Stéphane Loisel | |
| Soumis le : Lundi 29 Novembre 2010, 11:13:34 | |
| Dernière modification le : Lundi 29 Novembre 2010, 12:18:57 | |
