Explicit ruin formulas for models with dependence among risks

Hansjörg Albrecher, Corina Constantinescu and Stéphane Loisel

Insurance: Mathematics and Economics, 2011, vol. 48, issue 2, 265-270

Abstract: 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.

Keywords: Ruin; probability; Frailty; models; Mixing; Archimedean; copulas; Completely; monotone; distributions (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (56)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:48:y:2011:i:2:p:265-270

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