On ruin probability and aggregate claim representations for Pareto claim size distributions

DOI10.1016/j.insmatheco.2009.08.005zbMath1231.91137OpenAlexW2022098007MaRDI QIDQ659155

Dominik Kortschak, Hansjoerg Albrecher

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://serval.unil.ch/resource/serval:BIB_CB6A7B45B023.P001/REF.pdf

Mathematics Subject Classification ID

Related Items (13)

Relations between integrated tails and moments based on the deficit at ruin in the renewal risk model ⋮ On the efficient evaluation of ruin probabilities for completely monotone claim distributions ⋮ On a nonparametric estimator for ruin probability in the classical risk model ⋮ Calculation of ruin probabilities for a dense class of heavy tailed distributions ⋮ Densities of ruin-related quantities in the Cramér-Lundberg model with Pareto claims ⋮ Unnamed Item ⋮ ON SUMS OF INDEPENDENT GENERALIZED PARETO RANDOM VARIABLES WITH APPLICATIONS TO INSURANCE AND CAT BONDS ⋮ An asymptotic expansion for the tail of compound sums of Burr distributed random variables ⋮ Explicit ruin formulas for models with dependence among risks ⋮ AGGREGATION OF DEPENDENT RISKS IN MIXTURES OF EXPONENTIAL DISTRIBUTIONS AND EXTENSIONS ⋮ A POISSON–PARETO MODEL OF CHLOROPHYLL-A FLUORESCENCE SIGNALS IN MARINE ENVIRONMENTS ⋮ The construction of a quadratic predictor of the discounted renewal claims with dependence ⋮ Functional sensitivity analysis of ruin probability in the classical risk models

Cites Work

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• Theory prob. appl.
• Second Order Behaviour of Ruin Probabilities
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• On the Sums of Independently Distributed Pareto Variates
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