On ruin probability and aggregate claim representations for Pareto claim size distributions
AbstractWe generalize an integral representation for the ruin probability in a Crámer-Lundberg risk model with shifted (or also called US-)Pareto claim sizes, obtained by Ramsay (2003), to classical Pareto(a) claim size distributions with arbitrary real values a>1 and derive its asymptotic expansion. Furthermore an integral representation for the tail of compound sums of Pareto-distributed claims is obtained and numerical illustrations of its performance in comparison to other aggregate claim approximations are provided.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 45 (2009)
Issue (Month): 3 (December)
Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/505554
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Ramsay, Colin M., 2003. "A solution to the ruin problem for Pareto distributions," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 109-116, August.
- Kortschak, Dominik & Albrecher, Hansjörg, 2010. "An asymptotic expansion for the tail of compound sums of Burr distributed random variables," Statistics & Probability Letters, Elsevier, vol. 80(7-8), pages 612-620, April.
- Hansjoerg Albrecher & Corina Constantinescu & Stéphane Loisel, 2011.
"Explicit ruin formulas for models with dependence among risks,"
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.