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TítuloBayesian estimation of ruin probabilities with heterogeneous and heavy tailed insurance claim size distribution

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Table 1: Posterior probabilitities that the safety loading, η, is positive and their posterior means uncondi- uncondi-tioned and condiuncondi-tioned on η > 0 for the four simulated risk proccesses.
Figure 1: Histogram of the lognormal data set with the theoretical, Bayesian and maximum-likelihood density estimates.
Figure 2: Histogram of the two component mixture data set with the theoretical and Bayesian predictive densities compared with two maximum-likelihood density estimates based on a general PH and a Coxian distribution with 30 phases.
Figure 3: Theoretical, empirical and predictive cumulative distribution functions for the long-tailed Weibull data set (top) and for the mixture of long-tailed and bimodal data set (botton).
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