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The problem of determining estimators for different structural parameters in the case of credibility results for weighted contracts

Virginia Atanasiu (2007)

Mathematica Bohemica

This paper presents and analyzes the estimators of the structural parameters, in the Bühlmann-Straub model, involving complicated mathematical properties of conditional expectations and of conditional covariances. So to enable to use the better linear credibility results obtained in this model, we will provide useful estimators for the structure parameters. From the practical point of view it is stated the attractive property of unbiasedness for these estimators.

What is the best approximation of ruin probability in infinite time?

Krzysztof Burnecki, Paweł Miśta, Aleksander Weron (2005)

Applicationes Mathematicae

We compare 12 different approximations of ruin probability in infinite time studying typical light- and heavy-tailed claim size distributions, namely exponential, mixture of exponentials, gamma, lognormal, Weibull, loggamma, Pareto and Burr. We show that approximation based on the Pollaczek-Khinchin formula gives most accurate results, in fact it can be chosen as a reference method. We also introduce a promising modification to the De Vylder approximation.

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