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  • Search: subject:"(generalized) Appell polynomials"
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(generalized) Appell polynomials 1 comonotonic risks 1 compound Poisson model 1 finite-time horizon 1 heavy-tailed distributions 1 impact of dependence 1 interdependent claim amounts 1 non-constant premium 1 non-stationary claim arrivals 1 recursive methods 1 ruin probability 1
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Free 1
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Book / Working Paper 1
Language
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English 1
Author
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Lefèvre, Claude 1 Loisel, Stéphane 1
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HAL 1
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Post-Print / HAL 1
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RePEc 1
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Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities
Loisel, Stéphane; Lefèvre, Claude - HAL - 2009
This paper is concerned with the compound Poisson risk model and two generalized models with still Poisson claim arrivals. One extension incorporates inhomogeneity in the premium input and in the claim arrival process, while the other takes into account possible dependence between the successive...
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