Exponential and scale mixtures and equilibrium distributions

DOI10.1080/03461238.1998.10413998zbMath1076.62559OpenAlexW1979200084MaRDI QIDQ4235021

Ole Hesselager, Shaun S. Wang, Gordon E. Willmot

Publication date: 25 March 1999

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1998.10413998

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15)

Related Items (22)

Upper stop-loss bounds for sums of possibly dependent risks with given means and variances ⋮ Relations between integrated tails and moments based on the deficit at ruin in the renewal risk model ⋮ Modelling losses using an exponential-inverse Gaussian distribution ⋮ On the generalized cumulative residual entropy with applications in actuarial science ⋮ Multivariate matrix-exponential affine mixtures and their applications in risk theory ⋮ ON A GENERALIZATION OF THE STATIONARY EXCESS OPERATOR ⋮ Slash distributions, generalized convolutions, and extremes ⋮ AN EM ALGORITHM FOR FITTING A NEW CLASS OF MIXED EXPONENTIAL REGRESSION MODELS WITH VARYING DISPERSION ⋮ Laplace transform ordering of actuarial quantities. ⋮ On the moments of the surplus process perturbed by diffusion. ⋮ Analysis of a defective renewal equation arising in ruin theory ⋮ Symbolic calculation of the moments of the time of ruin. ⋮ On the Moments of the Time of Ruin with Applications to Phase-Type Claims ⋮ Moments of compound renewal sums with discounted claims ⋮ Equilibrium compound distributions and stop-loss moments ⋮ On the discounted \(K\)th moment of the deficit at ruin in the delayed renewal risk model ⋮ On the stop-loss transform and order for the surplus process perturbed by diffusion ⋮ On the discounted penalty function in the renewal risk model with general interclaim times ⋮ A separation theorem for the weak \(s\)-convex orders ⋮ A new stochastic order based upon Laplace transform with applications ⋮ The moments of the time of ruin, the surplus before ruin, and the deficit at ruin ⋮ On mixing, compounding, and tail properties of a class of claim number distributions

Cites Work

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• Insurance pricing and increased limits ratemaking by proportional hazards transforms
• Survival models for heterogeneous populations derived from stable distributions
• The generalized Pareto law as a model for progressively censored survival data
• Preservation of certain classes of life distributions under Poisson shock models
• On closure of some partial orderings under mixtures
• A recursive procedure for calculation of some mixed compound poisson distributions

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