Sensitivity analysis on ruin probabilities with heavy-tailed claims

DOI10.1016/J.STAMET.2004.11.001zbMATH Open1248.60104OpenAlexW1966478992MaRDI QIDQ713634FDOQ713634

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

sensitivity analysisruin probabilityinsurance risk modelsheavy-tailed distributionPollaczek-Khinchin formula

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Subexponential distributions and integrated tails
• Estimates for the probability of ruin with special emphasis on the possibility of large claims

Cited In (5)

• Functional sensitivity analysis of ruin probability in the classical risk models
• Solving unconstrained global optimization problems via hybrid swarm intelligence approaches
• Sensitivity Analysis of Insurance Risk Models via Simulation
• Sensitivity of risk measures with respect to the normal approximation of total claim distributions
• SIMPLE CONTINUITY INEQUALITIES FOR RUIN PROBABILITY IN THE CLASSICAL RISK MODEL

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