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

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

We 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...

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Bibliographic Details
Main Authors: Constantinescu Corina D., Kozubowski Tomasz J., Qian Haoyu H.
Format: Article
Language:English
Published: De Gruyter 2019-07-01
Series:Dependence Modeling
Subjects:
actuarial science
compound binomial risk model
dependence by mixture
discrete pareto distribution
geometric distribution
heavy tail
mixture
power law
ruin probability
zero-altered distribution
zero-inflated distribution
zero-modified distribution
Online Access:https://doi.org/10.1515/demo-2019-0011

Internet

https://doi.org/10.1515/demo-2019-0011

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