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

Probability of ruin in discrete insurance risk model with dependent Pareto claims AbstractWe 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Dependence Modeling de Gruyter

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

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Publisher
de Gruyter
Copyright
© 2019 Corina D. Constantinescu et al., published by De Gruyter
ISSN
2300-2298
eISSN
2300-2298
DOI
10.1515/demo-2019-0011
Publisher site
See Article on Publisher Site

Abstract

AbstractWe 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.

Journal

Dependence Modeling – de Gruyter

Published: Jan 1, 2019

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