Article ID Journal Published Year Pages File Type
10525757 Statistical Methodology 2005 5 Pages PDF
Abstract
In this note, we consider the classical insurance risk model with heavy-tailed claim distributions. By using the Pollaczek-Khinchin Formula, we provide some sensitivity analysis on the ruin probability.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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Sensitivity analysis on ruin probabilities with heavy-tailed claims
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