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

Hansjörg Albrecher and Dominik Kortschak

Insurance: Mathematics and Economics, 2009, vol. 45, issue 3, 362-373

Abstract: We generalize an integral representation for the ruin probability in a Crámer-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.

Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-6687(09)00092-4
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:45:y:2009:i:3:p:362-373

Access Statistics for this article

Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

More articles in Insurance: Mathematics and Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().