کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076707 | 1374098 | 2013 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
The purpose of this paper is to point out that an asymptotic rule A+B/u for the ultimate ruin probability applies to a wide class of dependent risk processes, in continuous or discrete time. That dependence is incorporated through a mixing model in the individual claim amount distributions. Several special mixing distributions are examined in detail and some close-form formulas are derived. Claim tail distributions and the dependence structure are also investigated.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 53, Issue 3, November 2013, Pages 774-785
Journal: Insurance: Mathematics and Economics - Volume 53, Issue 3, November 2013, Pages 774-785
نویسندگان
C. Dutang, C. Lefèvre, S. Loisel,