Quality of the approximation of ruin probabilities regarding to large claims

DOI10.1007/978-3-319-17996-4_11MaRDI QIDQ2808072zbMATHOpenAlexFDO

Authors Aïcha Bareche, Mouloud Cherfaoui, D. Aïssani

Publication date 26 May 2016

Published in Advanced Computational Methods for Knowledge Engineering (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-17996-4_11

zbMATH Keywords

risk modelapproximationruin probabilitystrong stabilitylarge claim

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20)

Recommendations

• Sensitivity of the stability bound for ruin probabilities to claim distributions
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• scientific article; zbMATH DE number 2077621
• Bounds for Ruin Probabilities in the Presence of Large Claims and their Comparison
• Comparison of ruin probability estimates in the presence of heavy tails

Cites work

• scientific article; zbMATH DE number 1025906 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• An introduction to statistical modeling of extreme values
• Comparison of ruin probability estimates in the presence of heavy tails
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Kernel density estimation for heavy-tailed distributions using the champernowne transformation
• Risk models with extremal subexponentiality
• The problem of stability in insurance mathematics

Cited in

(4)

• scientific article; zbMATH DE number 2169325 (Why is no real title available?)
• Sensitivity of the stability bound for ruin probabilities to claim distributions
• A new class of large claim size distributions: definition, properties, and ruin theory
• Second order behaviour of ruin probabilities in the case of large claims

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Uses Software

• ismev

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