Título:
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Calculating ultimate non-ruin probabilities when claim sizes follow a generalized r-convolution distribution function
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Autores:
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Usábel Rodrigo, Miguel Arturo
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Tipo de documento:
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texto impreso
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Editorial:
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Facultad de Ciencias Económicas y Empresariales. Decanato, 1998
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Dimensiones:
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application/pdf
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Nota general:
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cc_by_nc_sa
info:eu-repo/semantics/openAccess
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Idiomas:
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Palabras clave:
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Estado = Publicado
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Materia = Ciencias: Matemáticas: Probabilidades
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Tipo = Documento de trabajo o Informe técnico
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Resumen:
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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.
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En línea:
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https://eprints.ucm.es/id/eprint/27083/1/9802.pdf
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