Ruin estimates for large claims
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DOI10.1016/0167-6687(88)90084-4zbMATH Open0666.62098OpenAlexW2052693607MaRDI QIDQ1116613FDOQ1116613
Authors: Paul Embrechts, José A. Villaseñor 
Publication date: 1988
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-6687(88)90084-4
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concavitylarge claimsprobability of ruinclaimsize distributionclaimsize modelscondition of sub-exponentialityruin estimatesCramér-Lundberg modelCramér estimate
Cites Work
- Subexponentiality and infinite divisibility
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- A property of longtailed distributions
- Subexponential distributions and integrated tails
- The class of subexponential distributions
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- Estimates for the probability of ruin with special emphasis on the possibility of large claims
- A property of the generalized inverse Gaussian distribution with some applications
- Bounds for classical ruin probabilities
Cited In (21)
- On a risk model with random incomes and dependence between claim sizes and claim intervals
- A solution to the ruin problem for Pareto distributions.
- Estimation of ruin probabilities by means of hazard rates
- The perturbed compound Poisson risk model with two-sided jumps
- Estimating the loading of the largest claims covers
- On the time value of absolute ruin with debit interest
- Absolute ruin in the compound Poisson model with credit and debit interests and liquid reserves
- Modeling large claims in non-life insurance
- Ruin probabilities allowing for delay in claims settlement
- Evaluating ruin probabilities: a streamlined approach
- Estimating ruin probabilities in the Cramér-Lundberg model with heavy-tailed claims
- Title not available (Why is that?)
- Title not available (Why is that?)
- Extreme value statistics and wind storm losses: A case study
- Estimation of distribution tails —a semiparametric approach
- The compound Poisson risk model with dependence under a multi-layer dividend strategy
- On ruin probability and aggregate claim representations for Pareto claim size distributions
- Large claims approximations for risk processes in a Markovian environment
- On the time value of absolute ruin for a multi-layer compound Poisson model under interest force
- On the time value of absolute ruin with tax
- How common sense can be misleading in ruin theory
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