Artikel
Asymptotic tail probability of the discounted aggregate claims under homogeneous, non-homogeneous and mixed Poisson risk model
In this paper, we derive a closed-form expression of the tail probability of the aggregate discounted claims under homogeneous, non-homogeneous and mixed Poisson risk models with constant force of interest by using a general dependence structure between the inter-occurrence time and the claim sizes. This dependence structure is relevant since it is well known that under catastrophic or extreme events the inter-occurrence time and the claim severities are dependent.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Risks ; ISSN: 2227-9091 ; Volume: 9 ; Year: 2021 ; Issue: 6 ; Pages: 1-22 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
-
homogeneous
non-homogeneous
mixed Poisson risk model
differential equation
discounted aggregate loss
subexponential
tail probability
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Adékambi, Franck
Essiomle, Kokou
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2021
- DOI
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doi:10.3390/risks9070122
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Adékambi, Franck
- Essiomle, Kokou
- MDPI
Entstanden
- 2021
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