The Probability of Ruin for the Inverse Gaussian and Related Processes

Details

Serval ID
serval:BIB_ACAC1F119872
Type
Article: article from journal or magazin.
Collection
Publications
Title
The Probability of Ruin for the Inverse Gaussian and Related Processes
Journal
Insurance: Mathematics and Economics
Author(s)
Dufresne F., Gerber H.U.
Publication state
Published
Issued date
1993
Peer-reviewed
Oui
Volume
12
Number
1
Pages
9-22
Language
english
Abstract
We consider a family of aggregate claims processes that contains the gamma process, the Inverse Gaussian process, and the compound Poissonprocess with gamma or degenerate claim amount distribution as special cases. This is a one-parameter family of stochastic processes. It is shown how the probability of ruin can be calculated for this family. Extensive numerical results are given and the role of the parameter is discussed.
Keywords
Probability of ruin, Inverse Gaussian process, Gamma process, Adjustment coefficient
Create date
19/11/2007 10:44
Last modification date
20/08/2019 15:16
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