Approximation of the equilibrium distribution via extreme value theory: an application to insurance risk

DOI10.1007/s11009-020-09779-wzbMath1474.62035OpenAlexW3009484602MaRDI QIDQ2241622

Ekaterina Todorova Kolkovska, Antonio Murillo-Salas, Ehyter Matías Martín-González

Publication date: 9 November 2021

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-020-09779-w

zbMATH Keywords

extreme value theoryclassical risk processequilibrium distributionPareto tailintegrated tailestimated ruin probability

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

Expected discounted penalty function and asymptotic dependence of the severity of ruin and surplus prior to ruin for two-sided Lévy risk processes ⋮ A new definition of hitting time and an embedded Markov chain in continuous-time quantum walks

Cites Work

• A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model
• Extremes and related properties of random sequences and processes
• Statistical inference using extreme order statistics
• Characterizations on heavy-tailed distributions by means of hazard rate.
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