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

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.

MoreLess

Year of publication:	2011
Authors:	Constantinescu, Corina ; Hashorva, Enkelejd ; Ji, Lanpeng
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 49.2011, 3, p. 487-495
Publisher:	Elsevier
Subject:	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

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011046584