Article: article from journal or magazin.
The Probability of Ruin for the Inverse Gaussian and Related Processes
Insurance: Mathematics and Economics
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.
Probability of ruin, Inverse Gaussian process, Gamma process, Adjustment coefficient
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