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

DOI10.1515/DEMO-2019-0011MaRDI QIDQ2178940zbMATH OpenOpenAlexFDO

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

Publication date 12 May 2020

Published in Dependence Modeling (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

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

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)

Recommendations

• Ruin problems for correlated discrete risk models
• The Pólya-Aeppli process and ruin problems
• On ruin probability and aggregate claim representations for Pareto claim size distributions
• Ruin probabilities in a discrete time risk model with dependent risks of heavy tail
• The ruin probability in risk process

Cites work

• scientific article; zbMATH DE number 2031102 (Why is no real title available?)
• scientific article; zbMATH DE number 273667 (Why is no real title available?)
• scientific article; zbMATH DE number 3223284 (Why is no real title available?)
• A review of discrete-time risk models
• Analysis of zero-adjusted count data
• Archimedean copulas in finite and infinite dimensions -- with application to ruin problems
• Cramér-Lundberg results for the infinite time ruin probability in the compound binomial model
• Discounted probabilities and ruin theory in the compound binomial model
• Discrete Burr and discrete Pareto distributions
• Discrete Pareto distributions
• Explicit ruin formulas for models with dependence among risks
• On an asymptotic rule \(A+B/u\) for ultimate ruin probabilities under dependence by mixing
• Probabilité de ruine éventuelle dans un modèle de risque à temps discret
• Random effect models for repeated measures of zero-inflated count data
• Ruin probabilities for time-correlated claims in the compound binomial model.
• Ruin probabilities in the compound binomial model
• Ruin problems for a discrete time risk model with non-homogeneous conditions
• The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function
• Zero-Inflated Poisson Regression, with an Application to Defects in Manufacturing
• Zero‐Altered and other Regression Models for Count Data with Added Zeros
• Zero‐Inflated Poisson and Binomial Regression with Random Effects: A Case Study

Cited in

(6)

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

This page was built for publication: Probability of ruin in discrete insurance risk model with dependent Pareto claims

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2178940)