Mixed Poisson process with Pareto mixing variable and its risk applications

DOI10.1007/S10986-016-9313-4MaRDI QIDQ327177zbMATH OpenOpenAlexFDO

Authors M. Stehlík, Pavlina Jordanova

Publication date 19 October 2016

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10986-016-9313-4

zbMATH Keywords

Erlang-Paretoexp-Pareto, riskmixed Poisson processesPareto distribution

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12)

Recommendations

• Risk process approximation with mixing
• scientific article; zbMATH DE number 1865405
• The ruin probability in risk process
• Mixed Poisson processes and the probability of ruin
• On Mixed and Compound Mixed Poisson Distributions

Cites work

• A generalized form of Fisher's logarithmic series
• Approximation of the risk process -- a survey
• Diffusion approximations in collective risk theory
• Explicit ruin formulas for models with dependence among risks
• scientific article; zbMATH DE number 1257656 (Why is no real title available?)
• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• scientific article; zbMATH DE number 591097 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 3227551 (Why is no real title available?)
• Limit theorems for continuous-time random walks with infinite mean waiting times
• Limit theorems for occupation times of Markov processes
• Mixed Poisson Distributions
• Non-life insurance mathematics. An introduction with stochastic processes.
• Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics
• On the Laplace transform of the Pareto distribution
• Random Time-Changed Extremal Processes
• Risk processes with random interest rates
• Simple approximations of ruin probabilities
• Some Useful Functions for Functional Limit Theorems
• Stable Lévy motion approximation in collective risk theory
• The Generalized Integro-Exponential Function
• The harmonic moment tail index estimator: asymptotic distribution and robustness

Cited in

(7)

• Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk
• Expectation of the truncated randomly weighted sums with dominatedly varying summands
• Asymptotic risk decomposition for regularly varying distributions with tail dependence
• Risk process approximation with mixing
• On properties of the phase-type mixed Poisson process and its applications to reliability shock modeling
• Mixed Poisson process with Stacy mixing variable
• Continuous Erlang mixed distributions and their properties

This page was built for publication: Mixed Poisson process with Pareto mixing variable and its risk applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q327177)