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Probability of ruin in discrete insurance risk model with dependent Pareto claims

Author

Listed:
  • Constantinescu Corina D.

    (Institute for Financial and Actuarial Sciences, Department of Mathematical Sciences, University of Liverpool, L69 7ZL Liverpool, United Kingdom)

  • Kozubowski Tomasz J.

    (Department of Mathematics & Statistics, University of Nevada, Reno, NV 89557, USA)

  • Qian Haoyu H.

    (Institute for Financial and Actuarial Sciences, Department of Mathematical Sciences, University of Liverpool, L69 7ZL Liverpool, United Kingdom)

Abstract

We present basic properties and discuss potential insurance applications of a new class of probability distributions on positive integers with power law tails. The distributions in this class are zero-inflated discrete counterparts of the Pareto distribution. In particular, we obtain the probability of ruin in the compound binomial risk model where the claims are zero-inflated discrete Pareto distributed and correlated by mixture.

Suggested Citation

  • Constantinescu Corina D. & Kozubowski Tomasz J. & Qian Haoyu H., 2019. "Probability of ruin in discrete insurance risk model with dependent Pareto claims," Dependence Modeling, De Gruyter, vol. 7(1), pages 215-233, January.
    • Handle: RePEc:vrs:demode:v:7:y:2019:i:1:p:215-233:n:11
    DOI: 10.1515/demo-2019-0011
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    References listed on IDEAS

    as
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