Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications

DOI10.1016/j.insmatheco.2017.11.002zbMath1398.62289OpenAlexW2608451768MaRDI QIDQ1697215

Hélène Cossette, Itre Mtalai, Déry Veilleux, Étienne Marceau

Publication date: 15 February 2018

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.11.002

zbMATH Keywords

ruin theoryrisk measurescapital allocationArchimedean copulasaggregation strategynested Archimedean copulascommon mixture representation

Mathematics Subject Classification ID

Related Items (10)

COPULA REPRESENTATIONS FOR THE SUM OF DEPENDENT RISKS: MODELS AND COMPARISONS ⋮ Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type ⋮ Collective risk models with dependence ⋮ A generalization of Archimedean and Marshall-Olkin copulas family ⋮ Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications ⋮ Dependence in a background risk model ⋮ Bonus-Malus premiums under the dependent frequency-severity modeling ⋮ Hierarchical Archimedean copulas through multivariate compound distributions ⋮ A Reconciliation of the Top-Down and Bottom-Up Approaches to Risk Capital Allocations: Proportional Allocations Revisited ⋮ The construction of a quadratic predictor of the discounted renewal claims with dependence

Uses Software

• nacopula
• QRM
• CopulaModel

Cites Work

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