Approximation of ruin probabilities via Erlangized scale mixtures

Peralta, Oscar, Rojas-Nandayapa, Leonardo, Xie, Wangyue and Yao, Hui (2018) Approximation of ruin probabilities via Erlangized scale mixtures. Insurance Mathematics and Economics, 78 136-156. doi:10.1016/j.insmatheco.2017.12.005

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Author Peralta, Oscar
Rojas-Nandayapa, Leonardo
Xie, Wangyue
Yao, Hui
Title Approximation of ruin probabilities via Erlangized scale mixtures
Journal name Insurance Mathematics and Economics   Check publisher's open access policy
ISSN 0167-6687
1873-5959
Publication date 2018-01-01
Year available 2018
Sub-type Article (original research)
DOI 10.1016/j.insmatheco.2017.12.005
Open Access Status File (Author Post-print)
Volume 78
Start page 136
End page 156
Total pages 21
Place of publication Amsterdam, The Netherlands
Publisher Elsevier
Language eng
Subject 2613 Statistics and Probability
2002 Economics and Econometrics
1804 Statistics, Probability and Uncertainty
Abstract In this paper, we extend an existing scheme for numerically calculating the probability of ruin of a classical Cramer-Lundberg reserve 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 Pi * G of a nonnegative distribution 17 with an Erlang distribution G. A distinctive feature of such a class is that it contains heavy-tailed distributions.
Keyword Erlang
Heavy-tailed
Infinite mixtures
Phase-type
Ruin probability
Scale mixtures
Q-Index Code C1
Q-Index Status Provisional Code
Grant ID DE130100819
Institutional Status UQ

Document type: Journal Article
Sub-type: Article (original research)
Collections: School of Mathematics and Physics
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Created: Sat, 24 Mar 2018, 20:29:03 EST