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

Constantinescu, Corina D, Kozubowski, Tomasz J and Qian, Haoyu H (2019) Probability of ruin in discrete insurance risk model with dependent Pareto claims. Dependence Modeling, 7 (1). 215 - 233.

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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
Depositing User:	Symplectic Admin
Date Deposited:	10 Jun 2019 13:48
Last Modified:	19 Jan 2023 00:40
DOI:	10.1515/demo-2019-0011
Open Access URL:	https://www.degruyter.com/downloadpdf/j/demo.2019....
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3044867