The distribution of compound sums of Pareto distributed losses
Publication:3077725
DOI10.1080/03461230802627835zbMATH Open1224.91083OpenAlexW1983265650MaRDI QIDQ3077725FDOQ3077725
Publication date: 22 February 2011
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461230802627835
Pareto distributioncompound Poisson distributioncompound negative binomial distributiondistribution of aggregate losses
Probability distributions: general theory (60E05) Characterization and structure theory of statistical distributions (62E10)
Cites Work
- On the Laplace transform of the Pareto distribution
- An algorithm to compute the waiting time distribution for the \(M/G/1\) queue
- Some applications of the fast Fourier transform algorithm in insurance mathematics This paper is dedicated to Professor W. S. Jewell on the occasion of his 60th birthday
- The Distribution of Sums of Certain I.I.D. Pareto Variates
- A solution to the ruin problem for Pareto distributions.
- Exact waiting time and queue size distributions for equilibrium \(M/G/1\) queues with Pareto service
- The Distribution of Sums of I.I.D. Pareto Random Variables with Arbitrary Shape Parameter
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Cited In (6)
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- Risk aggregation in multivariate dependent Pareto distributions
- Relations between integrated tails and moments based on the deficit at ruin in the renewal risk model
- On the efficient evaluation of ruin probabilities for completely monotone claim distributions
- ON SUMS OF INDEPENDENT GENERALIZED PARETO RANDOM VARIABLES WITH APPLICATIONS TO INSURANCE AND CAT BONDS
- On ruin probability and aggregate claim representations for Pareto claim size distributions
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