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A solution to the ruin problem for Pareto distributions

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  • Ramsay, Colin M.
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-49D700J-5/2/85a5e71e53032b6052451f764ed55ec2
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    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 33 (2003)
    Issue (Month): 1 (August)
    Pages: 109-116

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    Handle: RePEc:eee:insuma:v:33:y:2003:i:1:p:109-116

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    Web page: http://www.elsevier.com/locate/inca/505554

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    1. Dickson, David C. M., 1989. "Recursive calculation of the probability and severity of ruin," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 8(2), pages 145-148, June.
    2. Embrechts, P. & Villasenor, J. A., 1988. "Ruin estimates for large claims," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 7(4), pages 269-274, December.
    3. Embrechts, P. & Veraverbeke, N., 1982. "Estimates for the probability of ruin with special emphasis on the possibility of large claims," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 1(1), pages 55-72, January.
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    Cited by:
    1. Albrecher, Hansjörg & Constantinescu, Corina & Loisel, Stephane, 2011. "Explicit ruin formulas for models with dependence among risks," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 48(2), pages 265-270, March.
    2. Michał Brzeziński, 2013. "Robust estimation of the Pareto index: A Monte Carlo Analysis," Working Papers, Faculty of Economic Sciences, University of Warsaw 2013-32, Faculty of Economic Sciences, University of Warsaw.
    3. Albrecher, Hansjörg & Kortschak, Dominik, 2009. "On ruin probability and aggregate claim representations for Pareto claim size distributions," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 45(3), pages 362-373, December.
    4. Woo, Jae-Kyung, 2011. "Refinements of two-sided bounds for renewal equations," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 48(2), pages 189-196, March.

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