Results 1 to 10 of about 52,097 (187)
BAYESIAN ESTIMATION OF RUIN PROBABILITIES WITH A HETEROGENEOUS AND HEAVY‐TAILED INSURANCE CLAIM‐SIZE DISTRIBUTION [PDF]
Australian & New Zealand Journal of Statistics, 2007 SummaryThis paper describes a Bayesian approach to make inference for risk reserve processes with an unknown claim‐size distribution. A flexible model based on mixtures of Erlang distributions is proposed to approximate the special features frequently observed in insurance claim sizes, such as long tails and heterogeneity. A Bayesian density estimation
Ausín, M. Concepción +1 more
openaire +6 more sources
Mathematics, 2023 Consider an insurance risk model with arbitrary dependence structures between the claim sizes. Suppose that the risky investment in the insurer can be established by the Cox–Ingersoll–Ross model.
Ming Cheng, Dingcheng Wang
doaj +1 more source
Risks, 2021 This article presents the Exponential–Generalized Inverse Gaussian regression model with varying dispersion and shape. The EGIG is a general distribution family which, under the adopted modelling framework, can provide the appropriate level of ...
George Tzougas, Himchan Jeong
doaj +1 more source
On the accuracy of phase-type approximations of heavy-tailed risk models [PDF]
, 2012 Numerical evaluation of ruin probabilities in the classical risk model is an important problem. If claim sizes are heavy-tailed, then such evaluations are challenging.
Adan, Ivo J. B. F. +3 more
core +18 more sources
Ruin probabilities with dependence on the number of claims within a fixed time window [PDF]
, 2016 We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival time distributions depending on the claims that arrived within a fixed (past) time window. This dependence could be explained through a regenerative structure.
Constantinescu, Corina +3 more
core +7 more sources
Approximation of ruin probabilities via Erlangized scale mixtures [PDF]
, 2017 In this paper, we extend an existing scheme for numerically calculating the probability of ruin of a classical Cram\'er--Lundberg reserve process having absolutely continuous but otherwise general claim size distributions.
Ash +19 more
core +2 more sources
Asymptotic tail behavior of phase-type scale mixture distributions [PDF]
, 2015 We consider phase-type scale mixture distributions which correspond to distributions of a product of two independent random variables: a phase-type random variable $Y$ and a nonnegative but otherwise arbitrary random variable $S$ called the scaling ...
Rojas-Nandayapa, Leonardo, Xie, Wangyue
core +2 more sources
Black swans or dragon kings? A simple test for deviations from the power law [PDF]
, 2011 We develop a simple test for deviations from power law tails, which is based on the asymptotic properties of the empirical distribution function. We use this test to answer the question whether great natural disasters, financial crashes or electricity ...
A. Cartea +13 more
core +3 more sources
A critical look at power law modelling of the Internet [PDF]
, 2009 This paper takes a critical look at the usefulness of power law models of the Internet. The twin focuses of the paper are Internet traffic and topology generation. The aim of the paper is twofold.
Clegg, Richard G. +2 more
core +4 more sources
, 2017 For genetic algorithms using a bit-string representation of length~$n$, the general recommendation is to take $1/n$ as mutation rate. In this work, we discuss whether this is really justified for multimodal functions. Taking jump functions and the $(1+1)$
Doerr, Benjamin +3 more
core +1 more source