On ruin probability and aggregate claim representations for Pareto claim size distributions
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Cites work
- scientific article; zbMATH DE number 3474264 (Why is no real title available?)
- scientific article; zbMATH DE number 1122116 (Why is no real title available?)
- scientific article; zbMATH DE number 4121212 (Why is no real title available?)
- scientific article; zbMATH DE number 5486279 (Why is no real title available?)
- scientific article; zbMATH DE number 3273551 (Why is no real title available?)
- A solution to the ruin problem for Pareto distributions.
- Asymptotic expansions for infinite weighted convolutions of heavy tail distributions and applications
- Asymptotic expansions for waiting time probabilities in an \(M/G/1\) queue with long-tailed service time
- Estimates for the probability of ruin with special emphasis on the possibility of large claims
- Exact waiting time and queue size distributions for equilibrium \(M/G/1\) queues with Pareto service
- Explicit expressions for the ruin probabilities of Erlang risk processes with Pareto individual claim distributions
- Higher-order expansions for compound distributions and ruin probabilities with subexponential claims
- Improved algorithms for rare event simulation with heavy tails
- Loss models. Further topics
- On subordinated distributions and generalized renewal measures
- On the Sums of Independently Distributed Pareto Variates
- Second Order Behaviour of Ruin Probabilities
- The distribution of compound sums of Pareto distributed losses
- Theory prob. appl.
Cited in
(21)- Probability of ruin in discrete insurance risk model with dependent Pareto claims
- A solution to the ruin problem for Pareto distributions.
- An asymptotic expansion for the tail of compound sums of Burr distributed random variables
- A new class of large claim size distributions: definition, properties, and ruin theory
- Calculation of ruin probabilities for a dense class of heavy tailed distributions
- 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
- scientific article; zbMATH DE number 3992735 (Why is no real title available?)
- Explicit ruin formulas for models with dependence among risks
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