Gerber-Shiu distribution at Parisian ruin for Lévy insurance risk processes.
Erik J. BaurdouxJuan Carlos PardoJosé Luis PérezJean-François RenaudPublished in: J. Appl. Probab. (2016)
Keyphrases
- risk management
- heavy tails
- probability distribution
- decision support system
- random variables
- data distribution
- stochastic processes
- risk assessment
- databases
- expected loss
- dependence structure
- heavy tailed
- marginal distributions
- high risk
- normal distribution
- fraud detection
- genetic algorithm
- machine learning
- probability density function
- data streams
- case study