Bayesian estimation of finite time ruin probabilities

DOI10.1002/ASMB.762MaRDI QIDQ5391286zbMATH OpenOpenAlexFDO

Authors María Concepción Ausín, Michael P. Wiper, Rosa E. Lillo

Publication date 6 April 2011

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.762

zbMATH Keywords

Bayesian inferenceCoxian distributionfinite time ruin probabilityLaplace transformsSparre Andersen model

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A discussion of parameter and model uncertainty in insurance
• BAYESIAN ESTIMATION OF RUIN PROBABILITIES WITH A HETEROGENEOUS AND HEAVY‐TAILED INSURANCE CLAIM‐SIZE DISTRIBUTION
• Erlangian Approximations for Finite-Horizon Ruin Probabilities
• Examples of fitting structured phase–type distributions
• Finite time ruin probabilities with one Laplace inversion.
• scientific article; zbMATH DE number 4143312 (Why is no real title available?)
• scientific article; zbMATH DE number 1085980 (Why is no real title available?)
• scientific article; zbMATH DE number 3444581 (Why is no real title available?)
• Ruin Probabilities and Deficit for the Renewal Risk Model with Phase-type Interarrival Times
• The estimation of phase-type related functionals using Markov chain Monte Carlo methods
• The Fourier-series method for inverting transforms of probability distributions
• The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models.
• Transient and busy period analysis of the GI/G/1 queue: The method of stages

Cited in

(7)

• Bayesian network management
• Quantification of automobile insurance liability: A Bayesian failure time approach.
• Risk processes with shot noise Cox claim number process and reserve dependent premium rate
• BAYESIAN ESTIMATION OF RUIN PROBABILITIES WITH A HETEROGENEOUS AND HEAVY‐TAILED INSURANCE CLAIM‐SIZE DISTRIBUTION
• New composite models for the Danish fire insurance data
• Bayesian estimation of ruin probability based on NHPP claim arrivals and Inverse-Gaussian distributed claim aggregates
• Building mean field ODE models using the generalized linear chain trick \& Markov chain theory

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