Bayesian estimation of ruin probabilities with a heterogeneous and heavy-tailed insurance claim-size distribution

Business & Economics

• Probability of Ruin 100%
• Bayesian Estimation 87%
• Phase-type Distribution 68%
• Ruin Probability 65%
• Insurance 50%
• Mixture Model 39%
• Mixture of Distributions 33%
• Density Estimation 33%
• Long Tail 30%
• Markov Chain Monte Carlo Methods 30%
• Jump 26%
• Bayesian Approach 25%
• Inference 18%
• Uncertainty 13%
• Evaluation 12%

Mathematics

• Probability of Ruin 89%
• Bayesian Estimation 74%
• Insurance 72%
• Erlang Distribution 39%
• Phase-type Distribution 36%
• Ruin Probability 33%
• Reversible Jump Markov Chain Monte Carlo 19%
• Risk Process 17%
• Markov Chain Monte Carlo Methods 15%
• Density Estimation 15%
• Mixture Model 14%
• Bayesian Approach 13%
• Model-based 12%
• Tail 12%
• Uncertainty 11%
• Evaluation 9%
• Unknown 8%
• Interval 7%
• Family 6%
• Estimate 6%
• Class 4%