On ruin probability and aggregate claim representations for Pareto claim size distributions
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State: Public
Version: author
State: Public
Version: author
Serval ID
serval:BIB_CB6A7B45B023
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
On ruin probability and aggregate claim representations for Pareto claim size distributions
Journal
Insurance: Mathematics and Economics
ISSN
0167-6687
Publication state
Published
Issued date
2009
Peer-reviewed
Oui
Volume
45
Number
3
Pages
362-373
Language
english
Abstract
We generalize an integral representation for the ruin probability in a Cramer-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.
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Create date
31/08/2009 12:38
Last modification date
20/08/2019 15:46