BAYESIAN ESTIMATION OF RUIN PROBABILITIES WITH A HETEROGENEOUS AND HEAVY‐TAILED INSURANCE CLAIM‐SIZE DISTRIBUTION

DOI10.1111/J.1467-842X.2007.00492.XMaRDI QIDQ3614905zbMATH OpenFDO

Authors M. Concepcion Ausin, Hedibert F. Lopes

Publication date 17 March 2009

Published in Australian <html_ent glyph="@amp;" ascii="&amp;"/> New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/J.1467-842X.2007.00492.X

zbMATH Keywords

Bayesian mixturesheavy tailsmultimodalityphase-type distributionsreversible jump MCMCrisk reserve processes

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical analysis or methods applied to Markov chains (65C40)

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Cites work

• A discussion of parameter and model uncertainty in insurance
• An investigation of phase-distribution moment-matching algorithms for use in queueing models
• Bayesian prediction in \(M/M/1\) queues
• Examples of fitting structured phase–type distributions
• Finite time ruin probabilities with one Laplace inversion.
• scientific article; zbMATH DE number 597901 (Why is no real title available?)
• scientific article; zbMATH DE number 1085980 (Why is no real title available?)
• Meda: mixed erlang distributions as phase-type representations of empirical distribution functions.
• Multivariate risk model of phase type
• Nineteen Dubious Ways to Compute the Exponential of a Matrix
• On the Distribution of the Deficit at Ruin when Claims are Phase-type
• Reparameterisation issues in mixture modelling and their bearing on MCMC algorithms.
• Statistical performance of a multiclass bulk production queueing system
• The estimation of phase-type related functionals using Markov chain Monte Carlo methods
• The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models.

Cited in

(12)

• Quantification of automobile insurance liability: A Bayesian failure time approach.
• A novel claim size distribution based on a Birnbaum-Saunders and gamma mixture capturing extreme values in insurance: estimation, regression, and applications
• Risk processes with shot noise Cox claim number process and reserve dependent premium rate
• Bayes statistics for mixed Erlang-models
• MODELLING INSURANCE LOSSES USING CONTAMINATED GENERALISED BETA TYPE-II DISTRIBUTION
• On semiparametric estimation of ruin probabilities in the classical risk model
• Bayesian estimation of ruin probability based on NHPP claim arrivals and Inverse-Gaussian distributed claim aggregates
• scientific article; zbMATH DE number 7247625 (Why is no real title available?)
• Bayesian estimation of finite time ruin probabilities
• On Pareto Conjugate Priors and Their Application to Large Claims Reinsurance Premium Calculation
• POT-based estimator of the ruin probability in infinite time for loss models: An application to insurance risk
• Bayesian modelling of financial guarantee insurance

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