Article: article from journal or magazin.
Risk theory with the gamma process
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.
Aggregate claims, compound Poisson process, gamma process, infinite divisibility, risk theory, ruin probability, simulation, stable distributions, inverse Gaussian distribution.
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