Sensitivity analysis on ruin probabilities with heavy-tailed claimsStatistical Methodology (2005)
AbstractIn this note, we consider the classical insurance risk model with heavy-tailed claim distributions. By using the Pollaczek–Khinchin Formula, we provide some sensitivity analysis on the ruin probability.
- Insurance risk models; Heavy-tailed distribution; Ruin probability; Sensitivity analysis; Pollaczek–Khinchin Formula
Citation InformationKwun Chuen Gary Chan and Hailiang Yang. "Sensitivity analysis on ruin probabilities with heavy-tailed claims" Statistical Methodology Vol. 2 Iss. 1 (2005)
Available at: http://works.bepress.com/kcgary_chan/5/