Article ID Journal Published Year Pages File Type
5077006 Insurance: Mathematics and Economics 2011 8 Pages PDF
Abstract
Based on these results we identify structure conditions for the generator and the Lévy measure of an Archimedean Lévy copula under which an insurance company reinsures a larger fraction of claims from one business line than from another.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
Optimal control and dependence modeling of insurance portfolios with Lévy dynamics
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