BAYESIAN ESTIMATION OF RUIN PROBABILITIES WITH A HETEROGENEOUS AND HEAVY‐TAILED INSURANCE CLAIM‐SIZE DISTRIBUTION

DOI10.1111/j.1467-842X.2007.00492.xzbMath1158.62017MaRDI QIDQ3614905

Hedibert Freitas Lopes, M. Concepcion Ausin

Publication date: 17 March 2009

Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)

zbMATH Keywords

heavy tailsreversible jump MCMCmultimodalityphase-type distributionsBayesian mixturesrisk reserve processes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

Related Items

Bayesian estimation of ruin probability based on NHPP claim arrivals and Inverse-Gaussian distributed claim aggregates, On semiparametric estimation of ruin probabilities in the classical risk model, POT-based estimator of the ruin probability in infinite time for loss models: An application to insurance risk, Bayesian estimation of finite time ruin probabilities, Risk processes with shot noise Cox claim number process and reserve dependent premium rate

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