Archimedean copulas in finite and infinite dimensions-with application to ruin problems

In this paper we discuss the link between Archimedean copulas and L1 Dirichlet distributions for both finite and infinite dimensions. With motivation from the recent papers Weng et al. (2009) and Albrecher et al. (2011) we apply our results to certain ruin problems.

► We link Archimedean survival copulas to L1 Dirichlet distributions. ► We present simpler proofs of some known results and apply them to ruin problems. ► We derive some new asymptotic results for (in-)finite time discrete risk models. ► We describe mixing via the stochastic representation of L1 Dirichlet distributions.