Densities of ruin-related quantities in the Cramér-Lundberg model with Pareto claims
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Publication:1703030
DOI10.1007/s11009-017-9551-xzbMath1407.91136OpenAlexW2590295689MaRDI QIDQ1703030
Publication date: 1 March 2018
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-017-9551-x
heavy-tailed distributionsscale functionPareto distributionCramér-Lundberg modelruin-related quantities
Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32)
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Cites Work
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