On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing

The purpose of this paper is to point out that an asymptotic rule A+B/u for the ultimate ruin probability applies to a wide class of dependent risk processes, in continuous or discrete time. That dependence is incorporated through a mixing model in the individual claim amount distributions. Several special mixing distributions are examined in detail and some close-form formulas are derived. Claim tail distributions and the dependence structure are also investigated.

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Year of publication:	2013
Authors:	Dutang, C. ; Lefèvre, C. ; Loisel, S.
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 53.2013, 3, p. 774-785
Publisher:	Elsevier
Subject:	Ultimate ruin probability \| Discrete and continuous time \| Mixing model \| Asymptotics \| Tail distribution \| Archimedean copulas

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

Persistent link: https://www.econbiz.de/10010719108