On the ruin probability of an insurance company in the case of claim sizes distributed as a mixture of shifted exponential distributions.

zbMATH Open1199.62056MaRDI QIDQ3552608FDOQ3552608

Authors: A. V. Tymko 

Publication date: 22 April 2010

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zbMATH Keywords

renewal processes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Cited In (8)

• On the ruin probability of an insurance company when the claim sizes are distributed as a mixture of exponential distributions.
• The non-ruin probability for the risk reserve process with exponential type claims
• On an estimation of the survival probability for an insurance company, that invests its capital in the case of exponential distribution of claims
• A novel claim size distribution based on a Birnbaum-Saunders and gamma mixture capturing extreme values in insurance: estimation, regression, and applications
• On the Ruin Probability Under a Class of Risk Processes
• An application of the mixture of exponentials to the risk theory
• Maximizing dividends without bankruptcy in the case where the individual claims sizes are distributed as a mixture of shifted exponential distributions
• The probability and severity of ruin for combinations of exponential claim amount distributions and their translations

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