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Article: On the class of erlang mixtures with risk theoretic applications

TitleOn the class of erlang mixtures with risk theoretic applications
Authors
Issue Date2007
PublisherSociety 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?
AbstractA 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 Identifierhttp://hdl.handle.net/10722/157713
ISSN
2015 SCImago Journal Rankings: 1.505
References

 

DC FieldValueLanguage
dc.contributor.authorWillmot, GEen_HK
dc.contributor.authorWoo, JKen_HK
dc.date.accessioned2012-08-08T08:54:22Z-
dc.date.available2012-08-08T08:54:22Z-
dc.date.issued2007en_HK
dc.identifier.citationNorth American Actuarial Journal, 2007, v. 11 n. 2, p. 99-118en_HK
dc.identifier.issn1092-0277en_HK
dc.identifier.urihttp://hdl.handle.net/10722/157713-
dc.description.abstractA 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.languageengen_US
dc.publisherSociety of Actuaries. The Journal's web site is located at http://www.soa.org/ccm/content/?categoryID=767033en_HK
dc.relation.ispartofNorth American Actuarial Journalen_HK
dc.titleOn the class of erlang mixtures with risk theoretic applicationsen_HK
dc.typeArticleen_HK
dc.identifier.emailWoo, JK: jkwoo@hku.hken_HK
dc.identifier.authorityWoo, JK=rp01623en_HK
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.scopuseid_2-s2.0-43849089197en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-43849089197&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume11en_HK
dc.identifier.issue2en_HK
dc.identifier.spage99en_HK
dc.identifier.epage118en_HK
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridWillmot, GE=6603756372en_HK
dc.identifier.scopusauthoridWoo, JK=26642855300en_HK

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