Approximation of ruin probabilities via Erlangized scale mixtures

Oscar Peralta, Leonardo Rojas-Nandayapa, Wangyue Xie and Hui Yao

Insurance: Mathematics and Economics, 2018, vol. 78, issue C, 136-156

Abstract: In this paper, we extend an existing scheme for numerically calculating the probability of ruin of a classical Cramér–Lundbergreserve process having absolutely continuous but otherwise general claim size distributions. We employ a dense class of distributions that we denominate Erlangized scale mixtures (ESM) that correspond to nonnegative and absolutely continuous distributions which can be written as a Mellin–Stieltjes convolution Π⋆G of a nonnegative distribution Π with an Erlang distribution G. A distinctive feature of such a class is that it contains heavy-tailed distributions.

Keywords: Phase-type; Erlang; Scale mixtures; Infinite mixtures; Heavy-tailed; Ruin probability (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:78:y:2018:i:c:p:136-156

DOI: 10.1016/j.insmatheco.2017.12.005

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