All ruin-inducing probability measures preserving a compound renewal process are characterized by pairs of functions (γ, δ), giving an explicit expectation formula for infinite-time ruin probability applicable to heavy-tailed claims.
(2017).Risk Theory
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
math.PR 1years
2026 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
A characterization of ruin-inducing probability measures in a renewal risk model
All ruin-inducing probability measures preserving a compound renewal process are characterized by pairs of functions (γ, δ), giving an explicit expectation formula for infinite-time ruin probability applicable to heavy-tailed claims.