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

作者：Constantinescu, Corina; Hashorva, Enkelejd; Ji, Lanpeng^*

来源：Insurance: Mathematics and Economics , 2011, 49(3): 487-495.

DOI：10.1016/j.insmatheco.2011.08.006

• Dirichlet distribution
• Archimedean copula
• Ruin probability
• Perturbed risk model
• Random scaling
• Mixing
• k-monotone functions
• Completely monotone functions
• Max-domain of attraction
• Gumbel distribution
• Davis-Resnick tail property
• Weibull distribution

In this paper we discuss the link between Archimedean copulas and L(1) 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.

• 出版日期2011-11
• 单位南开大学