Abstract
In this paper, we consider the classical yet widely applicable Cramér-Lundberg risk model with Pareto distributed claim sizes. Building on the previously known expression for the ruin probability we derive distributions of different ruin-related quantities. The results rely on the theory of scale functions and are intended to illustrate the simplicity and effectiveness of the theory. A particular emphasis is put on the tail behavior of the distributions of ruin-related quantities and their tail index value is established. Numerical illustrations are provided to show the influence of the claim sizes distribution tail index on the tails of the ruin-related quantities distribution.
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Grahovac, D. Densities of Ruin-Related Quantities in the Cramér-Lundberg Model with Pareto Claims. Methodol Comput Appl Probab 20, 273–288 (2018). https://doi.org/10.1007/s11009-017-9551-x
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DOI: https://doi.org/10.1007/s11009-017-9551-x
Keywords
- Cramér-Lundberg model
- Pareto distribution
- Scale function
- Ruin-related quantities
- Heavy-tailed distributions