Non-Poissonian claims' arrivals and calculation of the probability of ruin

DOI10.1016/S0167-6687(98)80001-2zbMath0907.90099OpenAlexW1989463696WikidataQ127488022 ScholiaQ127488022MaRDI QIDQ1265923

Vsevolod K. Malinovskii

Publication date: 1998

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(98)80001-2

zbMATH Keywords

simulationimportance samplingruin probabilitiescollective riskAndersen's modelheavy-tailed interclaim distributionsnon-Poissonian claims arrival processes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Special processes (60K99)

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