Explicit ruin formulas for models with dependence among risks

Hansjoerg Albrecher (1) , Corina Constantinescu (1, 2) , Stéphane Loisel (1, 2)

1 UNIL - Université de Lausanne = University of Lausanne
2 SAF - Laboratoire de Sciences Actuarielle et Financière

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.

Domaines: Economies et finances; Probabilités [math.PR]

Hansjoerg Albrecher, Corina Constantinescu, Stéphane Loisel. Explicit ruin formulas for models with dependence among risks. Insurance: Mathematics and Economics, 2011, 48 (2), pp.265-270. ⟨hal-00540621⟩