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Probability of ruin in discrete insurance risk model with dependent Pareto claims
Date
2019Type
ArticleAbstract
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.
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http://hdl.handle.net/11714/6258Additional Information
Journal Title | Dependence Modeling |
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Rights | Creative Commons Attribution 4.0 International |
Rights Holder | Authors |
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Except where otherwise noted, this item's license is described as Creative Commons Attribution 4.0 International
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