Bayesian estimation of ruin probability based on NHPP claim arrivals and Inverse-Gaussian distributed claim aggregates

DOI10.1080/03610926.2019.1710763OpenAlexW2999655224MaRDI QIDQ5078892

Min Deng, Mostafa S. Aminzadeh

Publication date: 25 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1710763

zbMATH Keywords

maximum likelihoodruin probabilityBayesian inferenceMCMCinverse-Gaussianmean-value functionNHPP

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Unnamed Item
• Unnamed Item
• Aspects of risk theory
• On the computation of the aggregate claim distribution when individual claims are inverse Gaussian
• Comparison of some tests of fit for the inverse Gaussian distribution
• Bayesian estimation of the expected time of first arrival past a truncated time \(T\): the case of NHPP with power law intensity
• Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation
• Bayesian estimation of renewal function for inverse Gaussian renewal process
• Bayes Estimator of Inverse Gaussian Parameters Under General Entropy Loss Function Using Lindley's Approximation
• Bayesian and fiducial inference for the inverse gaussian distribution via Gibbs sampler
• BAYESIAN ESTIMATION OF RUIN PROBABILITIES WITH A HETEROGENEOUS AND HEAVY‐TAILED INSURANCE CLAIM‐SIZE DISTRIBUTION
• Bayesian Economic Variable Acceptance-Sampling Plan Using Inverse Gaussian Model and Step-Loss Function
• Bayesian estimation of finite time ruin probabilities
• A New Goodness-of-Fit Test Based on the Laplace Statistic for a Large Class of NHPP Models

This page was built for publication: Bayesian estimation of ruin probability based on NHPP claim arrivals and Inverse-Gaussian distributed claim aggregates