Statistical analysis of mixtures underlying probability of ruin

Štatistická analýza zmesí v pravdepodobnosti ruinovania

Rastislav Potocký and Milan Stehlík
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Rastislav Potocký: Ústav aplikovanej matematiky a statistiky, Univerzita Komenského, Mlynská Dolina, 842 48 Bratislava, Slovenská republika
Milan Stehlík: Ústav aplikované statistiky, JKU Linz, Freistädter Straße 315, A-4040 Linz a. D., Rakousko

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2009, vol. 57, issue 6, 209-214

Abstract: If the hypothesis on exponentially distributed claims in a risk (or surplus) model is untenable then, in many cases, the assumption that they are mixtures of two (or more) exponentials is a suitable substitute. In the first part of the paper tests of homogeneity for exponentially distributed claims are discussed and their properties are stated. The statistical properties of parameter estimations for such claims are also mentioned. In the second part the classical Cramer-Lundberg ruin model is discussed when claims are distributed as mixtures of exponentials. Our attention is focussed primarily on assesment of accuracy of approximations obtained. Then our results are compared to those already known.

Keywords: ELRH test; ELR2 test; pension pillar; ruin probability (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:mup:actaun:actaun_2009057060209

DOI: 10.11118/actaun200957060209

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