On ruin probability and aggregate claim representations for Pareto claim size distributions |
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| Authors: | Hansjörg Albrecher Dominik Kortschak |
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| Institution: | a Institute of Actuarial Science, University of Lausanne, Quartier UNIL-Dorigny, Batiment Extranef, CH-1015 Lausanne, Switzerland
b Radon Institute for Computational and Applied Mathematics, Austrian Academy of Sciences, Altenbergerstrasse 69, A-4040 Linz, Austria |
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| Abstract: | We generalize an integral representation for the ruin probability in a Crámer-Lundberg risk model with shifted (or also called US-)Pareto claim sizes, obtained by Ramsay (2003), to classical Pareto(a) claim size distributions with arbitrary real values a>1 and derive its asymptotic expansion. Furthermore an integral representation for the tail of compound sums of Pareto-distributed claims is obtained and numerical illustrations of its performance in comparison to other aggregate claim approximations are provided. |
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