Explicit ruin formulas for models with dependence among risks

By Hansjoerg Albrecher, Corina Constantinescu, Stéphane Loisel. 2011

110 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/7095cb4c334fc0abaf08e3d77b81f48270f6517a

Citations in the corpus

• Robust distortion risk measures (2022, unknown): “We consider the Pareto-Clayton model that offers a flexible way of modelling portfolios with dependent risks, see Oakes (1989) and Albrecher et al. (2011) for applications in insurance and Dacorogna et al. (2016) and Bernard et al.”