Explicit ruin formulas for models with dependence among risks

We 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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Year of publication:	2011
Authors:	Albrecher, Hansjörg ; Constantinescu, Corina ; Loisel, Stephane
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 48.2011, 2, p. 265-270
Publisher:	Elsevier
Keywords:	Ruin probability Frailty models Mixing Archimedean copulas Completely monotone distributions

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

Persistent link: https://www.econbiz.de/10008865467