Probability of ruin in discrete insurance risk model with dependent Pareto claims

DOI10.1515/DEMO-2019-0011zbMATH Open1439.62214OpenAlexW2956997962MaRDI QIDQ2178940FDOQ2178940

Authors: Corina Constantinescu, Tomasz J. Kozubowski, Haoyu H. Qian 

Publication date: 12 May 2020

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2019-0011

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zbMATH Keywords

mixturepower lawgeometric distributionruin probabilityheavy tailactuarial sciencecompound binomial risk modelzero-modified distributionzero-inflated distributiondiscrete Pareto distributionzero-altered distributiondependence by mixture

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Risk models (general) (91B05)

Cites Work

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Cited In (6)

• Ruin probability of a discrete-time risk process with proportional reinsurance and investment for exponential and Pareto distributions
• Assessing the performance of the discrete generalised Pareto distribution in modelling non-life insurance claims
• A new trivariate model for stochastic episodes
• Dependent Insurance Risk Model: Deterministic Threshold
• Densities of ruin-related quantities in the Cramér-Lundberg model with Pareto claims
• The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance

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