University of Nevada, Reno
Probability of ruin in discrete insurance risk model with dependent Pareto claims
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Constantinescu et al. - 2019 - Probability of ruin in discrete insurance risk mod.pdf (1.045Mb)
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 |
|---|---|
| Rights | Creative Commons Attribution 4.0 International |
| Rights Holder | Authors |
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