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Archimedean copulas in finite and infinite dimensions—with application to ruin problems · Study

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ArticleArchimedean copulas in finite and infinite dimensions—with application to ruin problems

Corina D. Constantinescu2011

Article2011

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

Corina D. Constantinescu · Enkelejd Hashorva · Lanpeng Ji

30 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Statistical Distribution Estimation and Applications Financial Risk and Volatility Modeling

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References

1994Modelling of extremal events in insurance and finance 1993Statistical Inference Procedures for Bivariate Archimedean Copulas 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions 2005Actuarial Theory for Dependent Risks: Measures, Orders and Models 2000Stochastic Processes for Insurance and Finance 2003Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks 1991Risk theory for the compound Poisson process that is perturbed by diffusion

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Year2011

Typearticle

Published2011-09-06

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations30

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.insmatheco.2011.08.006

openalex_workW1977915064

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