Bayesian estimation of finite time ruin
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M. Concepcion Ausin; Michael P. Wiper; Rosa E. Lillo
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Article
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2009
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John Wiley and Sons
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English
β 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 interβclaim time and claim size distributions. We illustrate that t