Sensitivity analysis on ruin probabilities with heavy-tailed claims
From MaRDI portal
Publication:713634
DOI10.1016/j.stamet.2004.11.001zbMath1248.60104OpenAlexW1966478992MaRDI QIDQ713634
Gary K. C. Chan, Hailiang Yang
Publication date: 19 October 2012
Published in: Statistical Methodology (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.stamet.2004.11.001
sensitivity analysisheavy-tailed distributionruin probabilityinsurance risk modelsPollaczek-Khinchin formula
Queueing theory (aspects of probability theory) (60K25) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)
Related Items (3)
SIMPLE CONTINUITY INEQUALITIES FOR RUIN PROBABILITY IN THE CLASSICAL RISK MODEL ⋮ Solving unconstrained global optimization problems via hybrid swarm intelligence approaches ⋮ Functional sensitivity analysis of ruin probability in the classical risk models
Cites Work
This page was built for publication: Sensitivity analysis on ruin probabilities with heavy-tailed claims