The Probability of Ruin for the Inverse Gaussian and Related Processes

Détails

ID Serval
serval:BIB_586E3BFB8871
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
The Probability of Ruin for the Inverse Gaussian and Related Processes
Périodique
Insurance: Mathematics and Economics
Auteur⸱e⸱s
Dufresne F., Gerber H.U.
ISSN
0167-6687
Statut éditorial
Publié
Date de publication
1993
Peer-reviewed
Oui
Volume
12
Numéro
1
Pages
9-22
Langue
anglais
Résumé
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.
Mots-clé
Probability of ruin, Inverse Gaussian process, Gamma process, Adjustment coefficient
Web of science
Création de la notice
19/11/2007 10:28
Dernière modification de la notice
20/08/2019 14:12
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