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Sensitivity analysis on ruin probabilities with heavy-tailed claims
Statistical Methodology (2005)
  • Kwun Chuen Gary Chan, University of Washington - Seattle Campus
  • Hailiang Yang, University of Hong Kong
Abstract
In 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.
Keywords
  • Insurance risk models; Heavy-tailed distribution; Ruin probability; Sensitivity analysis; Pollaczek–Khinchin Formula
Publication Date
2005
Citation Information
Kwun 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/