Quality of the Approximation of Ruin Probabilities Regarding to Large Claims

DOI10.1007/978-3-319-17996-4_11zbMath1337.91045OpenAlexW840587616MaRDI QIDQ2808072

Mouloud Cherfaoui, Aïcha Bareche, Djamil Aissani

Publication date: 26 May 2016

Published in: Advanced Computational Methods for Knowledge Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-17996-4_11

zbMATH Keywords

approximationruin probabilitystrong stabilityrisk modellarge claim

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20)

Related Items

Sensitivity of the stability bound for ruin probabilities to claim distributions

Uses Software

• ismev

Cites Work

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• Risk models with extremal subexponentiality
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• The problem of stability in insurance mathematics
• Comparison of ruin probability estimates in the presence of heavy tails
• Kernel density estimation for heavy-tailed distributions using the champernowne transformation
• An introduction to statistical modeling of extreme values