Sensitivity analysis on ruin probabilities with heavy-tailed claims

Gary K. C.  Chan; Hailiang Yang

doi:10.1016/j.stamet.2004.11.001

Sensitivity analysis on ruin probabilities with heavy-tailed claims

Gary K. C. Chan, Hailiang Yang^*

^*Corresponding author for this work

The University of Hong Kong

Research output: Contribution to journal › Article › peer-review

4 Citations (Scopus)

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.

Original language	English
Pages (from-to)	59
Number of pages	63
Journal	Statistical Methodology
DOIs	https://doi.org/10.1016/j.stamet.2004.11.001
Publication status	Published - 2005
Externally published	Yes

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title = "Sensitivity analysis on ruin probabilities with heavy-tailed claims",

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 ruinprobability.",

author = "Chan, {Gary K. C.} and Hailiang Yang",

year = "2005",

doi = "10.1016/j.stamet.2004.11.001",

language = "English",

pages = "59",

journal = "Statistical Methodology",

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TY - JOUR

T1 - Sensitivity analysis on ruin probabilities with heavy-tailed claims

AU - Chan, Gary K. C.

AU - Yang, Hailiang

PY - 2005

Y1 - 2005

N2 - 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 ruinprobability.

AB - 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 ruinprobability.

U2 - 10.1016/j.stamet.2004.11.001

DO - 10.1016/j.stamet.2004.11.001

M3 - Article

SP - 59

JO - Statistical Methodology

JF - Statistical Methodology

ER -

Sensitivity analysis on ruin probabilities with heavy-tailed claims

Abstract

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