Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/63273
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dc.contributor.authorGomez-Deniz, Emilioen_US
dc.contributor.authorSarabia, José Maríaen_US
dc.contributor.authorCalderin-Ojeda, Enriqueen_US
dc.date.accessioned2020-01-21T12:14:49Z-
dc.date.available2020-01-21T12:14:49Z-
dc.date.issued2019en_US
dc.identifier.issn2227-9091en_US
dc.identifier.otherWoS-
dc.identifier.urihttp://hdl.handle.net/10553/63273-
dc.description.abstractIt is known that the classical ruin function under exponential claim-size distribution depends on two parameters, which are referred to as the mean claim size and the relative security loading. These parameters are assumed to be unknown and random, thus, a loss function that measures the loss sustained by a decision-maker who takes as valid a ruin function which is not correct can be considered. By using squared-error loss function and appropriate distribution function for these parameters, the issue of estimating the ruin function derives in a mixture procedure. Firstly, a bivariate distribution for mixing jointly the two parameters is considered, and second, different univariate distributions for mixing both parameters separately are examined. Consequently, a catalogue of ruin probability functions and severity of ruin, which are more flexible than the original one, are obtained. The methodology is also extended to the Pareto claim size distribution. Several numerical examples illustrate the performance of these functions.en_US
dc.languageengen_US
dc.relation.ispartofRisksen_US
dc.sourceRisks [ISSN 2227-9091],v. 7 (2), 68en_US
dc.subjectInvestigaciónen_US
dc.subject.otherDistributionsen_US
dc.subject.otherLoss functionen_US
dc.subject.otherExponential distributionen_US
dc.subject.otherPareto distributionen_US
dc.subject.otherRuin functionen_US
dc.subject.otherSeverity of ruinen_US
dc.subject.otherUpper bounden_US
dc.titleRuin probability functions and severity of ruin as a statistical decision problemen_US
dc.typeinfo:eu-repo/semantics/Articleen_US
dc.typeArticleen_US
dc.identifier.doi10.3390/risks7020068
dc.identifier.scopus85070290928
dc.identifier.isi000474937700034-
dc.contributor.authorscopusid57205068671
dc.contributor.authorscopusid6701455820
dc.contributor.authorscopusid23479414700
dc.identifier.issue2-
dc.relation.volume7-
dc.investigacionCiencias Sociales y Jurídicasen_US
dc.type2Artículoen_US
dc.contributor.daisngid610603
dc.contributor.daisngid311897
dc.contributor.daisngid1844848
dc.description.notasMSC: 62P05; 91B30; 97M30en_US
dc.utils.revisionen_US
dc.contributor.wosstandardWOS:Gomez-Deniz, E
dc.contributor.wosstandardWOS:Sarabia, JM
dc.contributor.wosstandardWOS:Calderin-Ojeda, E
dc.date.coverdateJunio 2019
dc.identifier.ulpgces
dc.description.sjr0,234
dc.description.sjrqQ3
item.fulltextCon texto completo-
item.grantfulltextopen-
crisitem.author.deptTécnicas estadísticas bayesianas y de decisión en la economía y empresa-
crisitem.author.deptIU de Turismo y Desarrollo Económico Sostenible-
crisitem.author.deptDepartamento de Métodos Cuantitativos en Economía y Gestión-
crisitem.author.orcid0000-0002-5072-7908-
crisitem.author.parentorgIU de Turismo y Desarrollo Económico Sostenible-
crisitem.author.fullNameGómez Déniz, Emilio-
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