Sensitivity analysis on ruin probabilities with heavy-tailed claims

DOI10.1016/j.stamet.2004.11.001zbMath1248.60104OpenAlexW1966478992MaRDI QIDQ713634

Gary K. C. Chan, Hailiang Yang

Publication date: 19 October 2012

Published in: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.stamet.2004.11.001

zbMATH Keywords

sensitivity analysisheavy-tailed distributionruin probabilityinsurance risk modelsPollaczek-Khinchin formula

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Related Items (3)

SIMPLE CONTINUITY INEQUALITIES FOR RUIN PROBABILITY IN THE CLASSICAL RISK MODEL ⋮ Solving unconstrained global optimization problems via hybrid swarm intelligence approaches ⋮ Functional sensitivity analysis of ruin probability in the classical risk models

Cites Work

• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Subexponential distributions and integrated tails
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