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

Constantinescu, Corina D ORCID: 0000-0002-5219-3022, Kozubowski, Tomasz J and Qian, Haoyu H (2019) Probability of ruin in discrete insurance risk model with dependent Pareto claims. DEPENDENCE MODELING, 7 (1). pp. 215-233.

Access the full-text of this item by clicking on the Open Access link.

Abstract

<jats:title>Abstract</jats:title> <jats:p>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.</jats:p>

Item Type:	Article
Uncontrolled 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
Depositing User:	Symplectic Admin
Date Deposited:	15 Jul 2019 07:48
Last Modified:	19 Jan 2023 00:37
DOI:	10.1515/demo-2019-0011
Open Access URL:	https://www.degruyter.com/downloadpdf/j/demo.2019....
Related URLs:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3049987

Available Versions of this Item

• Probability of ruin in discrete insurance risk model with dependent Pareto claims. (deposited 15 Jul 2019 07:48) [Currently Displayed]
  • Probability of ruin in discrete insurance risk model with dependent Pareto claims. (deposited 18 Jul 2019 08:17)