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Bayesian Dividend Optimization and Finite Time Ruin Probabilities

✍ Scribed by Leobacher, Gunther; Szölgyenyi, Michaela; Thonhauser, Stefan

Book ID
127262655
Publisher
Taylor and Francis Group
Year
2014
Tongue
English
Weight
403 KB
Volume
30
Category
Article
ISSN
1532-6349

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✍ M. Concepcion Ausin; Michael P. Wiper; Rosa E. Lillo 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 282 KB

## Abstract In this paper, we consider Bayesian inference and estimation of finite time ruin probabilities for the Sparre Andersen risk model. The dense family of Coxian distributions is considered for the approximation of both the inter‐claim time and claim size distributions. We illustrate that t