Probability of ruin in discrete insurance risk model with dependent Pareto claims-Reference-Cited by-同舟云学术

Probability of ruin in discrete insurance risk model with dependent Pareto claims

Published:2019-07-11 Issue:1 Volume:7 Page:215-233
ISSN:2300-2298
Container-title:Dependence Modeling
language:
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Author:

Constantinescu Corina D.¹,Kozubowski Tomasz J.²,Qian Haoyu H.¹

Affiliation:

1. Institute for Financial and Actuarial Sciences, Department of Mathematical Sciences, University of Liverpool, L69 7ZL Liverpool, United Kingdom

2. Department of Mathematics & Statistics, University of Nevada, Reno, NV 89557, USA

Abstract

AbstractWe present basic properties and discuss potential insurance applications of a new class of probability distributions on positive integers with power law tails. The distributions in this class are zero-inflated discrete counterparts of the Pareto distribution. In particular, we obtain the probability of ruin in the compound binomial risk model where the claims are zero-inflated discrete Pareto distributed and correlated by mixture.

Publisher

Walter de Gruyter GmbH

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Link

https://www.degruyter.com/document/doi/10.1515/demo-2019-0011/pdf

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