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

C. Dutang, C. Lefèvre and Stéphane Loisel

Insurance: Mathematics and Economics, 2013, vol. 53, issue 3, 774-785

Abstract: 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.

Keywords: Ultimate ruin probability; Discrete and continuous time; Mixing model; Asymptotics; Tail distribution; Archimedean copulas (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (5)

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Working Paper: On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing (2013)
Working Paper: On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:53:y:2013:i:3:p:774-785

DOI: 10.1016/j.insmatheco.2013.09.020

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