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Usábel Rodrigo, Miguel Arturo (1998) Calculating ultimate non-ruin probabilities when claim sizes follow a generalized r-convolution distribution function. [ Documentos de Trabajo de la Facultad de Ciencias Económicas y Empresariales; nº 02, 1998, ISSN: 2255-5471 ]
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Official URL: http://eprints.ucm.es/27083/
Abstract
The non-ruin probability, for initial reserves u, in the classical can be calculated using the so-called Bromwich-Mellin inversion formula, an outstanding result from Residues Theory first introduced for these purposes by Seal(1977) for exponential claim size. We will use this technique when claim sizes follow a generalized r-convolution function distribution. Some of the most frequently used heavy-tailed distributions in actuarial science belongs to this family. Thorin(1977) or Berg(1981) proved that Pareto distributions are members of this family; so Thorin(1977) did with Log-normal distributions.
Item Type: | Working Paper or Technical Report |
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Uncontrolled Keywords: | Ultimate non-ruin probability; Laplace transforms; Bromwich-Mellin inversion formula; Gerenalized r-convolution functions. |
Subjects: | Sciences > Mathematics > Probabilities |
Series Name: | Documentos de Trabajo de la Facultad de Ciencias Económicas y Empresariales |
Volume: | 1998 |
Number: | 02 |
ID Code: | 27083 |
Deposited On: | 13 Oct 2014 17:31 |
Last Modified: | 03 Sep 2015 12:05 |
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