A class of risk processes with delayed claims: Ruin probability estimates under heavy tail conditions

Ganesh A; Torrisi GL

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A class of risk processes with delayed claims: Ruin probability estimates under heavy tail conditions

机译：一类具有延迟索赔的风险过程：重尾条件下的破产概率估计

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摘要

We consider a class of risk processes with delayed claims, and we provide ruin probability estimates under heavy tail conditions on the claim size distribution.

机译：我们考虑一类索赔延误的风险过程，并根据索赔大小分布在重尾条件下提供破产概率估计。

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来源
《Journal of Applied Probability》 |2006年第4期|共11页
作者
Ganesh A; Torrisi GL;
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正文语种 eng
中图分类应用数学;
关键词
extreme value theory; Poisson process; regular variation; renewal process; ruin probability; shot noise process; subexponential distribution;

机译：极值理论;泊松过程;正则变化;更新过程;破产概率;散粒噪声过程;次指数分布;

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专利

1. A class of risk processes with delayed claims: Ruin probability estimates under heavy tail conditions [J] . Ganesh A, Torrisi GL Journal of Applied Probability . 2006,第4期

机译：一类具有延迟索赔的风险过程：重尾条件下的破产概率估计
2. Finite-and infinite-time ruin probabilities with general stochastic investment return processes and bivariate upper tail independent and heavy-tailed claims [J] . Guo F., Wang D. Advances in applied probability . 2013,第1期

机译：具有一般随机投资回报过程和双变量上尾独立且重尾索赔的有限和无限时间破产概率
3. The Asymptotic Estimate of Ruin Probability Under a Class of Risk Model in the Presence of Heavy Tails [J] . JIAQIN WEI, RONGMING WANG, DINGJUN YAO Communications in Statistics. A, Theory and Methods . 2008,第13a15期

机译：大尾风险模型下破坏概率的渐近估计
4. Local Ruin Probability in the two stage-delayed Renewal Risk Model Under Heavy-tailed Claims [C] . Chun YAN, Wei LIU 2008 International Conference on Risk and Relianility Management(2008风险与可靠性管理国际会议)论文集 . 2008

机译：重尾索赔下两阶段延迟更新风险模型中的局部破产概率
5. Probabilities of Ruin in Economics and Insurance under Light- and Heavy-tailed Distributions. [D] . Kim, Hyeonju. 2015

机译：轻尾分布和重尾分布下经济和保险业的破产概率。
6. Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns [O] . Yinghua Dong, Dingcheng Wang -1

机译：具有随机收益的二维非标准更新风险模型中破产概率的一致渐近性
7. A class of risk processes with delayed claims: ruin probability estimates under heavy tail conditions [O] . Ayalvadi Ganesh, Giovanni Luca Torrisi 2006

机译：一类具有延迟索赔的风险流程：破坏尾部条件下的概率估计

A class of risk processes with delayed claims: Ruin probability estimates under heavy tail conditions

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