Ruin estimation in multivariate models with Clayton dependence structure

DOI10.1080/03461230500362065zbMath1145.91031OpenAlexW2006612152MaRDI QIDQ5430561

Claudia Klüppelberg, Yuliya Bregman

Publication date: 16 December 2007

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230500362065

zbMATH Keywords

ruin probabilityClayton copulaLévy copulamultivariate dependence

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites Work

• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Cramér's estimate for Lévy processes
• Ruin probabilities and overshoots for general Lévy insurance risk processes
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