Schur-constant and related dependence models, with application to ruin probabilities

DOI10.1007/s11009-019-09744-2zbMath1476.60026OpenAlexW2996577268WikidataQ126590493 ScholiaQ126590493MaRDI QIDQ2241514

Matthieu Simon, Claude Lefèvre

Publication date: 9 November 2021

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-019-09744-2

zbMATH Keywords

Archimedean copulasdiscrete time risk modelSchur-constant modelsprobabilities of ruin\(L_1\) symmetric Dirichlet vectors

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05) Risk models (general) (91B05)

Related Items (2)

Abel-Gontcharoff polynomials, parking trajectories and ruin probabilities ⋮ On partially Schur-constant models and their associated copulas

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