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

Corina Constantinescu, Enkelejd Hashorva and Lanpeng Ji

Insurance: Mathematics and Economics, 2011, vol. 49, issue 3, 487-495

Abstract: 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.

Keywords: 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 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (21)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:49:y:2011:i:3:p:487-495

DOI: 10.1016/j.insmatheco.2011.08.006

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