Exponential behavior in the presence of dependence in risk theory

By Hansjörg Albrecher *, Jozef L. Teugels. 2006

190 citations recorded by the source corpus.

Subfields: Demography, Management Science and Operations Research, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/975366fb2d8aeeea588e00fde4dae38c37081fa6

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

In Management Science and Operations Research

In Mathematical Physics

Citations in the corpus

On the Moments of Aggregate Discounted Claims with Dependence Introduced by a FGM Copula (2011, background): “In Albrecher and Teugels (2006) the dependence is introduced with the use of an arbitrary copula.”
Dependent Risk Models with Bivariate Phase-Type Distributions (2009, background): “That simply means that some sub-matrices in the representation (5) for T are empty.”
Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model (2010, background): “Initiated in Albrecher and Teugels (2006), there have been a series of papers devoted to ruin-related problems of an extended renewal risk model in which (Xk, θk), k = 1, 2, . . . , are assumed to be i.i.d. copies of a generic pair (X, θ) with dependent components X and θ .”
On the discounted penalty function in a Markov-dependent risk model (2005, unknown): “, (4) where Tx denotes the time of ruin with initial capital x, R(T − x ) is the surplus immediately before ruin, |R(Tx)| is the deficit at ruin and the penalty w(x1, x2) is an arbitrary non-negative function on [0,∞) × [0,∞).”
Analysis of ruin measures for the classical compound Poisson risk model with dependence (2010, methodology): “Among them, Albrecher & Teugels ( 2006 ) consider a dependence structure for ( X , W) based on a copula.”
Extremes on the discounted aggregate claims in a time dependent risk model (2010, methodology): “Using random walk techniques, Albrecher and Teugels (2006) derive explicit exponential estimates for infinite and finite time ruin probabilities under a dependence structure described by a copula, when the claim sizes are light tailed.”
On a risk model with dependence between interclaim arrivals and claim sizes (2006, background): “We mention that an arbitrary dependence structure among the interclaim time and the subsequent claim size expressed through a copula has been considered by Albrecher and Teugels ( 2006 ) where they derived asymptotic results for both the finite and infinite-time ruin probabilities.”