Explicit ruin formulas for models with dependence among risks

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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Year of publication:	2011
Authors:	Albrecher, Hansjoerg ; Constantinescu, Corina ; Loisel, Stéphane
Institutions:	HAL

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00540621 Published, Insurance: Mathematics and Economics, 2011, 48, 2, 265-270
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010820573