File Download

There are no files associated with this item.

  Links for fulltext
     (May Require Subscription)
Supplementary

Article: Sensitivity analysis on ruin probabilities with heavy-tailed claims

TitleSensitivity analysis on ruin probabilities with heavy-tailed claims
Authors
KeywordsHeavy-tailed distribution
Insurance risk models
Pollaczek-Khinchin Formula
Ruin probability
Sensitivity analysis
Issue Date2005
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/stamet
Citation
Statistical Methodology, 2005, v. 2 n. 1, p. 59-63 How to Cite?
AbstractIn 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. © 2004 Elsevier B.V. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/82645
ISSN
2015 Impact Factor: 0.604
2015 SCImago Journal Rankings: 0.706
References

 

DC FieldValueLanguage
dc.contributor.authorChan, GKCen_HK
dc.contributor.authorYang, Hen_HK
dc.date.accessioned2010-09-06T08:31:46Z-
dc.date.available2010-09-06T08:31:46Z-
dc.date.issued2005en_HK
dc.identifier.citationStatistical Methodology, 2005, v. 2 n. 1, p. 59-63en_HK
dc.identifier.issn1572-3127en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82645-
dc.description.abstractIn 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. © 2004 Elsevier B.V. All rights reserved.en_HK
dc.languageengen_HK
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/stameten_HK
dc.relation.ispartofStatistical Methodologyen_HK
dc.rightsStatistical Methodology. Copyright © Elsevier BV.en_HK
dc.subjectHeavy-tailed distributionen_HK
dc.subjectInsurance risk modelsen_HK
dc.subjectPollaczek-Khinchin Formulaen_HK
dc.subjectRuin probabilityen_HK
dc.subjectSensitivity analysisen_HK
dc.titleSensitivity analysis on ruin probabilities with heavy-tailed claimsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=1572-3127&volume=2&issue=1&spage=59&epage=63&date=2005&atitle=Sensitivity+analysis+on+ruin+probabilities+with+heavy-tailed+claimsen_HK
dc.identifier.emailYang, H: hlyang@hku.hken_HK
dc.identifier.authorityYang, H=rp00826en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.stamet.2004.11.001en_HK
dc.identifier.scopuseid_2-s2.0-33644763135en_HK
dc.identifier.hkuros101251en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-33644763135&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume2en_HK
dc.identifier.issue1en_HK
dc.identifier.spage59en_HK
dc.identifier.epage63en_HK
dc.publisher.placeNetherlandsen_HK
dc.identifier.scopusauthoridChan, GKC=12767524700en_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK

Export via OAI-PMH Interface in XML Formats


OR


Export to Other Non-XML Formats