A solution to the ruin problem for Pareto distributions
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 33 (2003)
Issue (Month): 1 (August)
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Web page: http://www.elsevier.com/locate/inca/505554
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- 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, vol. 1(1), pages 55-72, January.
- Embrechts, P. & Villasenor, J. A., 1988. "Ruin estimates for large claims," Insurance: Mathematics and Economics, Elsevier, vol. 7(4), pages 269-274, December.
- Albrecher, Hansjörg & Constantinescu, Corina & Loisel, Stephane, 2011.
"Explicit ruin formulas for models with dependence among risks,"
Insurance: Mathematics and Economics,
Elsevier, vol. 48(2), pages 265-270, March.
- Hansjoerg Albrecher & Corina Constantinescu & Stéphane Loisel, 2011. "Explicit ruin formulas for models with dependence among risks," Post-Print hal-00540621, HAL.
- Albrecher, Hansjörg & Kortschak, Dominik, 2009. "On ruin probability and aggregate claim representations for Pareto claim size distributions," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 362-373, December.
- Michał Brzeziński, 2013. "Robust estimation of the Pareto index: A Monte Carlo Analysis," Working Papers 2013-32, Faculty of Economic Sciences, University of Warsaw.
- Woo, Jae-Kyung, 2011. "Refinements of two-sided bounds for renewal equations," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 189-196, March.
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