Ruin estimation in multivariate models with Clayton dependence structure

Scandinavian Actuarial Journal

Volumn 2005, Issue 6, 2005, Pages 462-480

  Bregman, Yuliya ^a   Klüppelberg, Claudia ^b  

^a UNIVERSITY OF MUNICH   (Germany)

^b TECHNICAL UNIVERSITY OF MUNICH   (Germany)

Author keywords

Clayton copula; L vy copula; Multivariate dependence; Multivariate l vy processes; Ruin probability

Indexed keywords

EID: 85012192916     PISSN: 03461238     EISSN: 16512030     Source Type: Journal    
DOI: 10.1080/03461230500362065     Document Type: Article

References (3)

1. Joe, H., 1997, Multivariate Models and Dependence Concepts (London: Chapman & Hall).
2. Barndorff-Nielsen, O.E. and Lindner, A., 2004, Some aspects of Levy copulas. Submitted for publication.
3. Tankov, P., 2003, Dependence structure of multivariate Levy processes with applications in risk management. Preprint. Ecole Polytechnique, Palaiseau, http://www.cmap.polytechnique.fr/~tankov/Levycopulas.ps