Explicit ruin formulas for models with dependence among risks

Hansjoerg Albrecher, Corina Constantinescu and Stéphane Loisel
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Hansjoerg Albrecher: UNIL - Université de Lausanne = University of Lausanne
Corina Constantinescu: UNIL - Université de Lausanne = University of Lausanne, LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon

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Abstract: 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.

Date: 2011
Note: View the original document on HAL open archive server: https://hal.science/hal-00540621v1
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Citations: View citations in EconPapers (57)

Published in Insurance: Mathematics and Economics, 2011, 48 (2), pp.265-270

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Journal Article: Explicit ruin formulas for models with dependence among risks (2011)
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