2026-06-29T01:40:25Zhttps://docta.ucm.es/rest/oai/requestoai:docta.ucm.es:20.500.14352/641322025-07-09T14:01:55Zcom_20.500.14352_14col_20.500.14352_17
Docta Complutense
author
Usábel Rodrigo, Miguel Arturo
2023-06-21T01:36:16Z
2023-06-21T01:36:16Z
1998
2255-5471
https://hdl.handle.net/20.500.14352/64132
https://economicasyempresariales.ucm.es/working-papers-ccee
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.
eng
Atribución-NoComercial-CompartirIgual 3.0 España
Calculating ultimate non-ruin probabilities when claim sizes follow a generalized r-convolution distribution function
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