Sensitivity analysis on ruin probabilities with heavy-tailed claims

DOI10.1016/J.STAMET.2004.11.001MaRDI QIDQ713634zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

heavy-tailed distributioninsurance risk modelsPollaczek-Khinchin formularuin probabilitysensitivity analysis

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Cites work

• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• Modelling extremal events for insurance and finance
• Subexponential distributions and integrated tails

Cited in

(6)

• Sensitivity Analysis of Insurance Risk Models via Simulation
• 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
• Sensitivity of risk measures with respect to the normal approximation of total claim distributions
• Ruin probability for heavy-tailed and dependent losses under reinsurance strategies

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