Calculation of ruin probabilities for a dense class of heavy tailed distributions

DOI10.1080/03461238.2013.865257zbMath1401.62204OpenAlexW2059423650MaRDI QIDQ4576915

Mogens Bladt, Bo Friis Nielsen, Gennady Samorodnitsky

Publication date: 11 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://hdl.handle.net/1813/31540

zbMATH Keywords

heavy tailsruin probabilityphase-type distributions

Mathematics Subject Classification ID

Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Characterization and structure theory of statistical distributions (62E10) Renewal theory (60K05)

Related Items

Inhomogeneous phase-type distributions and heavy tails, Heavy-tailed phase-type distributions: a unified approach, Continuous scaled phase-type distributions, Approximation of ruin probabilities via Erlangized scale mixtures, Matrix Mittag-Leffler distributions and modeling heavy-tailed risks, Approximation of the ultimate ruin probability in the classical risk model using Erlang mixtures, Fitting phase-type scale mixtures to heavy-tailed data and distributions, On the use of functional calculus for phase-type and related distributions, On scale functions for Lévy processes with negative phase-type jumps, Functional sensitivity analysis of ruin probability in the classical risk models

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