Ruin measures for a compound Poisson risk model with dependence based on the Spearman copula and the exponential claim sizes
From MaRDI portal
Publication:2514625
DOI10.1016/j.insmatheco.2014.10.006zbMath1306.91077OpenAlexW2062533928MaRDI QIDQ2514625
Publication date: 3 February 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.10.006
Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20)
Related Items
Moments of discounted aggregate claims with dependence based on Spearman copula, The risk model with stochastic premiums, dependence and a threshold dividend strategy, EXTENSION OF THE COMPOUND POISSON MODEL VIA THE SPEARMAN COPULA, The risk model with stochastic premiums and a multi-layer dividend strategy
Cites Work
- Unnamed Item
- Unnamed Item
- Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
- A ruin model with dependence between claim sizes and claim intervals
- An introduction to copulas.
- Fitting bivariate cumulative returns with copulas
- On the discounted penalty function in the renewal risk model with general interclaim times
- Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times
- Multivariate Fréchet copulas and conditional value-at-risk
- On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
- Analysis of ruin measures for the classical compound Poisson risk model with dependence
- On a risk model with dependence between interclaim arrivals and claim sizes
- Dependent Risk Models with Bivariate Phase-Type Distributions
- On a renewal risk process with dependence under a Farlie–Gumbel–Morgenstern copula
- On the Time Value of Ruin
