On ruin probability and aggregate claim representations for Pareto claim size distributions

被引：19
作者：
Albrecher, Hansjoerg [1 ]
Kortschak, Dominik [1 ,2 ]
机构：
[1] Univ Lausanne, Inst Actuarial Sci, Quartier UNIL Dorigny, CH-1015 Lausanne, Switzerland
[2] Austrian Acad Sci, Radon Inst Computat & Appl Math, A-4040 Linz, Austria
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2009年 / 45卷 / 03期
基金：
奥地利科学基金会;
关键词：
D O I：
10.1016/j.insmatheco.2009.08.005
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We generalize an integral representation for the ruin probability in a Cramer-Lundberg risk model with shifted (or also called US-)Pareto claim sizes, obtained by Ramsay (2003), to classical Pareto(a) claim size distributions with arbitrary real values a > 1 and derive its asymptotic expansion. Furthermore an integral representation for the tail of compound sums of Pareto-distributed claims is obtained and numerical illustrations of its performance in comparison to other aggregate claim approximations are provided. (C) 2009 Elsevier B.V. All rights reserved.
引用
收藏
页码：362 / 373
页数：12
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