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

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Author
Constantinescu, Corina D.
Kozubowski, Tomasz J.
Qian, Haoyu H.
Date
2019
Type
Article
DOI
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Abstract
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.
Permanent link
http://hdl.handle.net/11714/6258
Subject
Actuarial science
compound binomial risk model
dependence by mixture
discrete Pareto distribution
geometric distribution
heavy tail
mixture
power law
ruin probability
zero-altered distribution
zero-inflated distribution
zero-modified distribution
 
Additional Information
Journal TitleDependence Modeling
RightsCreative Commons Attribution 4.0 International
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Creative Commons Attribution 4.0 International
Except where otherwise noted, this item's license is described as Creative Commons Attribution 4.0 International