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Article: On the class of erlang mixtures with risk theoretic applications
Title | On the class of erlang mixtures with risk theoretic applications |
---|---|
Authors | |
Issue Date | 2007 |
Publisher | Society of Actuaries. The Journal's web site is located at http://www.soa.org/ccm/content/?categoryID=767033 |
Citation | North American Actuarial Journal, 2007, v. 11 n. 2, p. 99-118 How to Cite? |
Abstract | A wide variety of distributions are shown to be of mixed-Erlang type. Useful computational formulas result for many quantities of interest in a risk-theoretic context when the claim size distribution is an Erlang mixture. In particular, the aggregate claims distribution and related quantities such as stop-loss moments are discussed, as well as ruin-theoretic quantities including infinitetime ruin probabilities and the distribution of the deficit at ruin. A very useful application of the results is the computation of finite-time ruin probabilities, with numerical examples given. Finally, extensions of the results to more general gamma mixtures are briefly examined. |
Persistent Identifier | http://hdl.handle.net/10722/157713 |
ISSN | 2023 Impact Factor: 1.4 2023 SCImago Journal Rankings: 0.692 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Willmot, GE | en_HK |
dc.contributor.author | Woo, JK | en_HK |
dc.date.accessioned | 2012-08-08T08:54:22Z | - |
dc.date.available | 2012-08-08T08:54:22Z | - |
dc.date.issued | 2007 | en_HK |
dc.identifier.citation | North American Actuarial Journal, 2007, v. 11 n. 2, p. 99-118 | en_HK |
dc.identifier.issn | 1092-0277 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/157713 | - |
dc.description.abstract | A wide variety of distributions are shown to be of mixed-Erlang type. Useful computational formulas result for many quantities of interest in a risk-theoretic context when the claim size distribution is an Erlang mixture. In particular, the aggregate claims distribution and related quantities such as stop-loss moments are discussed, as well as ruin-theoretic quantities including infinitetime ruin probabilities and the distribution of the deficit at ruin. A very useful application of the results is the computation of finite-time ruin probabilities, with numerical examples given. Finally, extensions of the results to more general gamma mixtures are briefly examined. | en_HK |
dc.language | eng | en_US |
dc.publisher | Society of Actuaries. The Journal's web site is located at http://www.soa.org/ccm/content/?categoryID=767033 | en_HK |
dc.relation.ispartof | North American Actuarial Journal | en_HK |
dc.title | On the class of erlang mixtures with risk theoretic applications | en_HK |
dc.type | Article | en_HK |
dc.identifier.email | Woo, JK: jkwoo@hku.hk | en_HK |
dc.identifier.authority | Woo, JK=rp01623 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.scopus | eid_2-s2.0-43849089197 | en_HK |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-43849089197&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 11 | en_HK |
dc.identifier.issue | 2 | en_HK |
dc.identifier.spage | 99 | en_HK |
dc.identifier.epage | 118 | en_HK |
dc.identifier.isi | WOS:000211859200006 | - |
dc.publisher.place | United States | en_HK |
dc.identifier.scopusauthorid | Willmot, GE=6603756372 | en_HK |
dc.identifier.scopusauthorid | Woo, JK=26642855300 | en_HK |
dc.identifier.issnl | 1092-0277 | - |