# Risk theory with the gamma process

### Details

Serval ID

serval:BIB_AD24A3806B44

Type

**Article**: article from journal or magazin.

Collection

Publications

Fund

Title

Risk theory with the gamma process

Journal

ASTIN Bulletin

Publication state

Published

Issued date

1991

Volume

21

Number

2

Pages

177-192

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.

Publisher's website

Create date

19/11/2007 11:44

Last modification date

03/03/2018 20:29