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

Constantinescu Corina D., Kozubowski Tomasz J. and Qian Haoyu H.
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Constantinescu Corina D.: Institute for Financial and Actuarial Sciences, Department of Mathematical Sciences, University of Liverpool, L69 7ZL Liverpool, United Kingdom
Kozubowski Tomasz J.: Department of Mathematics & Statistics, University of Nevada, Reno, NV 89557, USA
Qian Haoyu H.: Institute for Financial and Actuarial Sciences, Department of Mathematical Sciences, University of Liverpool, L69 7ZL Liverpool, United Kingdom

Dependence Modeling, 2019, vol. 7, issue 1, 215-233

Abstract: 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 of ruin in the compound binomial risk model where the claims are zero-inflated discrete Pareto distributed and correlated by mixture.

Keywords: 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 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:7:y:2019:i:1:p:215-233:n:11

DOI: 10.1515/demo-2019-0011

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