Risk theory with the gamma process

Details

Serval ID
serval:BIB_B98B7F92D107
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Risk theory with the gamma process
Journal
ASTIN Bulletin
Author(s)
Dufresne F., Gerber H.U., Shiu E.S.W.
ISSN
0515-0361
Publication state
Published
Issued date
1991
Peer-reviewed
Oui
Volume
21
Number
2
Pages
177-192
Language
english
Abstract
The aggregate claims process is modelled by a process with independent, stationary and nonnegative increments. Such a process is either compound Poisson or else a process with an infinite number of claims in each time interval, for example a gamma process. It is shown how classical risk theory, and in particular ruin theory, can be adapted to this model. A detailed analysis is given for the gamma process, for which tabulated values of the probability of ruin are provided.
Keywords
Aggregate claims, compound Poisson process, gamma process, infinite divisibility, risk theory, ruin probability, simulation, stable distributions, inverse Gaussian distribution.
Create date
19/11/2007 10:45
Last modification date
20/08/2019 15:27
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