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Dokumenttyp:
Buchbeitrag 
Autor(en):
Fasen, V., and Klüppelberg, C. 
Titel:
Large insurance losses distributions. 
Abstract:
Large insurance losses happen infrequently, but they happen. In this paper we present the standard distribution models used in fire, wind–storm or flood insurance. We also present the classical Cramér-Lundberg model for the total claim amount and some more recent extensions. The classical insurance risk measure is the ruin probability and we give a full account of the ruin event in such models. Finally, we present some results for an integrated insurance risk model, where also investment risk...    »
 
Stichworte:
Cramér-Lundberg model, integrated risk process, integrated tail distribution function, Pollaczek-Khinchine formula, quintuple law, regular variation, renewal measure, risk model, ruin probability, sample path leading to ruin, subexponential distribution 
Buchtitel:
Encyclopedia of Quantitative Risk Assessment 
Verlag / Institution:
Wiley 
Jahr:
2014 
Reviewed:
ja 
Sprache:
en 
Format:
Text