Pregled bibliografske jedinice broj: 863615
Densities of Ruin-Related Quantities in the Cramér-Lundberg Model with Pareto Claims
Densities of Ruin-Related Quantities in the Cramér-Lundberg Model with Pareto Claims // Methodology and computing in applied probability, 20 (2018), 1; 273-288 doi:10.1007/s11009-017-9551-x (podatak o recenziji nije dostupan, članak, znanstveni)
CROSBI ID: 863615 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Densities of Ruin-Related Quantities in the
Cramér-Lundberg Model with Pareto Claims
Autori
Grahovac, Danijel
Izvornik
Methodology and computing in applied probability (1387-5841) 20
(2018), 1;
273-288
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
Cramér-Lundberg model ; Pareto distribution ; scale function ; ruin-related quantities ; heavy-tailed distributions
Sažetak
In this paper, we consider the classical yet widely applicable Cram\'er-Lundberg risk model with Pareto distributed claim sizes. Building on the previously known expression for the ruin probability we derive distributions of different ruin-related quantities. The results rely on the theory of scale functions and are intended to illustrate the simplicity and effectiveness of the theory. A particular emphasis is put on the tail behavior of the distributions of ruin-related quantities and their tail index value is established. Numerical illustrations are provided to show the influence of the claim sizes distribution tail index on the tails of the ruin-related quantities distribution.
Izvorni jezik
Engleski
Znanstvena područja
Matematika
POVEZANOST RADA
Ustanove:
Sveučilište u Osijeku, Odjel za matematiku
Profili:
Danijel Grahovac
(autor)
Citiraj ovu publikaciju:
Časopis indeksira:
- Web of Science Core Collection (WoSCC)
- Science Citation Index Expanded (SCI-EXP)
- SCI-EXP, SSCI i/ili A&HCI
- Scopus
Uključenost u ostale bibliografske baze podataka::
- MathSciNet
- Zentrallblatt für Mathematik/Mathematical Abstracts
