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Communication Dans Un Congrès Année : 2011

On risk theory with dependent risks

Résumé

In this talk, we describe several models with dependent risks and give some exact or asymptotic formulas for finite-time or infinite-time ruin probabilities. Considered models either feature correlation crises (which occur when risks that are independent in the classical regime suddenly become strongly correlated) or correlations obtained by mixture models.
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hal-00566494 , version 1 (16-02-2011)

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  • HAL Id : hal-00566494 , version 1

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Stéphane Loisel. On risk theory with dependent risks. Séminaire de statistique de Luminy, Jan 2011, Marseille, France. ⟨hal-00566494⟩
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