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Heavy-tailed insurance portfolios: buffer capital and ruin probabilities
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.). (Mathematical Statistics)ORCID iD: 0000-0001-9210-121X
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2006 (English)Report (Other academic)
Place, publisher, year, edition, pages
2006. , 22 p.
Series
Technical Report, Cornell University, ORIE, 1441
Keyword [en]
Ruin probabilities, buffer capital, regular variation, renewal model, diversification
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:kth:diva-84162OAI: oai:DiVA.org:kth-84162DiVA: diva2:499182
Note
QC 20120307Available from: 2012-02-13 Created: 2012-02-13 Last updated: 2012-03-07Bibliographically approved

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http://www.math.kth.se/~lindskog/papers/HIP.pdf

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Hult, Henrik

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