Finite time ruin probabilities for tempered stable insurance risk processes
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| Tag | 1 | 2 | Value |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20130033006 | ||
| 003 | MAP | ||
| 005 | 20131112164945.0 | ||
| 008 | 131008e20130902esp|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | 1 | $0MAPA20130014142$aGriffin, Philip S. | |
| 245 | 1 | 0 | $aFinite time ruin probabilities for tempered stable insurance risk processes$cPhilip S. Griffin, Ross A. Maller, Dale Roberts |
| 520 | $aWe study the probability of ruin before time t for the family of tempered stable Lévy insurance risk processes, which includes the spectrally positive inverse Gaussian processes. Numerical approximations of the ruin time distribution are derived via the Laplace transform of the asymptotic ruin time distribution, for which we have an explicit expression. These are benchmarked against simulations based on importance sampling using stable processes. Theoretical consequences of the asymptotic formulae indicate that some care is needed in the choice of parameters to avoid exponential growth (in time) of the ruin probabilities in these models. This, in particular, applies to the inverse Gaussian process when the safety loading is less than one. | ||
| 650 | 4 | $0MAPA20080611613$aModelos probabílisticos | |
| 650 | 4 | $0MAPA20080576790$aModelo Gaussiano | |
| 650 | 4 | $0MAPA20080602437$aMatemática del seguro | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 700 | 1 | $0MAPA20130016245$aMaller, Ross A. | |
| 700 | 1 | $0MAPA20130016252$aRoberts, Dale | |
| 773 | 0 | $wMAP20077100574$tInsurance : mathematics and economics$dOxford : Elsevier, 1990-$x0167-6687$g02/09/2013 Volumen 53 Número 2 - septiembre 2013 , p. 478-489 |