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On an asymptotic rule A + B / u for ultimate ruin probabilities under dependence by mixing

par Dutang, Christophe;Lefèvre, Claude ;Loisel, Stéphane
Référence Insurance. Mathematics & economics, 53, 3, page (774-785)
Publication Publié, 2013-11

Article révisé par les pairs

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Résumé :

The purpose of this paper is to point out that an asymptotic rule A + B / u for the ultimate ruin probability applies to a wide class of dependent risk processes, in continuous or discrete time. That dependence is incorporated through a mixing model in the individual claim amount distributions. Several special mixing distributions are examined in detail and some close-form formulas are derived. Claim tail distributions and the dependence structure are also investigated. © 2013.