On ruin probability and aggregate claim representations for Pareto claim size distributions

DOI10.1016/J.INSMATHECO.2009.08.005zbMATH Open1231.91137OpenAlexW2022098007MaRDI QIDQ659155FDOQ659155

Authors: Dominik Kortschak, Hansjörg Albrecher 

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://serval.unil.ch/resource/serval:BIB_CB6A7B45B023.P001/REF.pdf

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Mathematics Subject Classification ID

Cites Work

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Cited In (21)

• A solution to the ruin problem for Pareto distributions.
• An asymptotic expansion for the tail of compound sums of Burr distributed random variables
• Calculation of ruin probabilities for a dense class of heavy tailed distributions
• A new class of large claim size distributions: definition, properties, and ruin theory
• Ruin estimates for large claims
• The construction of a quadratic predictor of the discounted renewal claims with dependence
• Functional sensitivity analysis of ruin probability in the classical risk models
• On sums of independent generalized Pareto random variables with applications to insurance and cat bonds
• A Poisson-Pareto model of chlorophyll-\(a\) fluorescence signals in marine environments
• The distribution of compound sums of Pareto distributed losses
• On Pareto Conjugate Priors and Their Application to Large Claims Reinsurance Premium Calculation
• Relations between integrated tails and moments based on the deficit at ruin in the renewal risk model
• AGGREGATION OF DEPENDENT RISKS IN MIXTURES OF EXPONENTIAL DISTRIBUTIONS AND EXTENSIONS
• On a nonparametric estimator for ruin probability in the classical risk model
• Liquidation risk for exponential spectrally negative Lévy processes
• Densities of ruin-related quantities in the Cramér-Lundberg model with Pareto claims
• On the efficient evaluation of ruin probabilities for completely monotone claim distributions
• The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
• Title not available (Why is that?)
• Explicit ruin formulas for models with dependence among risks
• Probability of ruin in discrete insurance risk model with dependent Pareto claims

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