Ruin-based risk measures in discrete-time risk models
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Publication:784443
DOI10.1016/J.INSMATHECO.2020.05.003zbMath1447.91132OpenAlexW3027536735MaRDI QIDQ784443
Hélène Cossette, Étienne Marceau, Pierre Zuyderhoff, Julien Trufin
Publication date: 3 August 2020
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/336583/3/VersionIME.pdf
Related Items (5)
Stochastic representation of FGM copulas using multivariate Bernoulli random variables ⋮ On the analysis of a discrete-time risk model with INAR(1) processes ⋮ On the evaluation of risk models with bivariate integer-valued time series ⋮ On the risk consistency and monotonicity of ruin theory ⋮ MULTIVARIATE DISTRIBUTIONS WITH TIME AND CROSS-DEPENDENCE: AGGREGATION AND CAPITAL ALLOCATION
Uses Software
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