Ruin estimates for large claims (Q1116613)
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scientific article; zbMATH DE number 4090647
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Ruin estimates for large claims |
scientific article; zbMATH DE number 4090647 |
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Ruin estimates for large claims (English)
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1988
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The classical Cramér estimate for the probability of ruin in the Cramér-Lundberg model assumes that the claimsizes are exponentially bounded. In the case of large claims (Pareto, log-normal,...) the condition of sub-exponentiality on the integrated claimsize distribution is the relevant one. In this paper, we study a family of distribution functions which is rich enough to contain the most important claimsize models and for which an easily verifiable sufficient condition for sub- exponentiality holds.
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concavity
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ruin estimates
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Cramér estimate
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probability of ruin
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Cramér-Lundberg model
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large claims
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condition of sub-exponentiality
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claimsize distribution
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claimsize models
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